Manager, Credit Risk Modelling (risk Services)

PwC Belgium Tax News

Ho Chi Minh City, Vietnam
On-site
Develop and enhance pd, lgd, ead models
Model validation and portfolio stress testing
Credit risk advice to senior management
PwC Belgium is seeking a Manager for Credit Risk Modelling based in Ho Chi Minh City, Vietnam. The role involves developing and validating credit risk models, providing advisory support, and ensuring compliance with regulatory standards while fostering a collaborative team environment. ###

Job Summary

  • Develop and enhance Probability of Default (PD), Loss Given Default (LGD), and Exposure At Default (EAD) models in accordance with Basel or IFRS 9 standards.
  • Generate, analyse, and standardise portfolio risk and capital reports, including scorecard performance reports and booking profiles.
  • Stay abreast of emerging technologies, including cloud computing and Generative AI (GenAI), and explore their potential applications within the organization to optimize operations and drive innovation in risk management practices.

Matching Summary

Match Score: 85

PwC Belgium is seeking a Manager for Credit Risk Modelling based in Ho Chi Minh City, Vietnam. The role involves developing and validating credit risk models, providing advisory support, and ensuring compliance with regulatory standards while fostering a collaborative team environment. ###

Skills & Requirements

Must-have

  • Develop and enhance PD, LGD, EAD models
  • Model validation and portfolio stress testing
  • Credit risk advice to senior management
  • Implement Basel/IFRS9 models and analytics
  • Advanced data analysis and predictive modeling
  • Explore cloud computing and Generative AI

Nice-to-have

  • Strong quantitative focus
  • People management experience
  • Trusted advisor relationships

Key Requirements

  • 3-6 years of working experience in credit risk modeling
  • Undergraduate degree in a quantitative programme
  • Python, R, SQL query and database familiarity

Work Rights

Not specified

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