Manager, Credit Risk Modelling (risk Services)

pwc.is

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Probability of default (pd) models
Loss given default (lgd) models
Exposure at default (ead) models
** PwC is seeking a Manager for their Credit Risk Modelling team, responsible for developing and validating risk models and providing advisory support across various risk management areas. The ideal candidate should have a strong quantitative background, experience in credit risk modeling, and excellent communication skills. **

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.
  • Conduct thorough validation of model performance, including PD, LGD, and EAD models, and carry out portfolio stress testing to assess model robustness against adverse economic conditions.
  • 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: 75

** PwC is seeking a Manager for their Credit Risk Modelling team, responsible for developing and validating risk models and providing advisory support across various risk management areas. The ideal candidate should have a strong quantitative background, experience in credit risk modeling, and excellent communication skills. **

Skills & Requirements

Must-have

  • Probability of Default (PD) models
  • Loss Given Default (LGD) models
  • Exposure At Default (EAD) models
  • Basel or IFRS 9 standards
  • model validation and performance
  • portfolio stress testing
  • credit risk advice
  • Python, R, SQL

Nice-to-have

  • emerging technologies
  • cloud computing and Generative AI
  • training sessions for stakeholders
  • research and development
  • strong quantitative focus
  • analytical mind with sound business insight
  • self-starter, flexible

Key Requirements

  • 3-6 years of working experience
  • Undergraduate degree in a quantitative programme
  • FRM or CFA is a plus
  • Post graduate degree is an added advantage

Work Rights

Not specified

Tailored Resume

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