Assurance | Senior GRC Financial Risks | Madrid

11 Minutes ago • 2-5 Years

Risk Management

Job Description

PwC Spain is seeking consultants with 2 to 5 years of experience for its Governance, Risk & Compliance (GRC) team, specifically in the Credit Risk area. The role involves participating in strategic projects for major financial entities, combining quantitative analysis, financial regulation, and advanced technologies like Generative AI, Machine Learning, and advanced analytics. Responsibilities include developing and reviewing credit risk models (scoring, rating, PD, LGD, EAD), integrating ESG risks, collaborating on EBA stress testing, and optimizing capital and provision models.

Good To Have:

Master's degree or specialization courses in Quantitative Finance, Data Science or related areas.

Must Have:

Develop credit risk models (scoring, rating, PD, LGD, EAD) according to CRR, EBA, and BdE regulations.
Review IRB (capital) and IFRS9 (provisions) models using statistical tests and regulatory analysis.
Integrate ESG risks (transition and physical) into credit models and Pillar 2 capital calculations (ICAAP).
Collaborate on EBA stress testing exercises, participating in calculation, documentation, and defense of results.
Optimize capital and provision models, applying regulatory levers.
Develop predictive models and Machine Learning algorithms for risk assessment.
Experiment with Generative AI (LLMs, text and voice analysis, automatic report generation or chatbots).
Analyze data, create predictive variables, and monitor model performance.
2 to 5 years of experience in consulting or credit risk (IFRS9, IRB models, provisions, regulatory or economic capital).
Degree in Economics, Mathematics, Statistics, Engineering, Business Administration, or similar.
Programming in SAS, R or Python.
Proficiency in analysis and visualization tools (Power BI, Tableau, Power Apps).
Analytical thinking, teamwork, commitment, communication, and leadership skills.
High level of English.

Perks:

Participate in high-impact projects with leading entities in the financial sector.
Continuous training in risks, regulation, and advanced technologies.
Be part of a leading multinational firm, with real opportunities for professional growth and professional development.
Collaborative, dynamic, and innovation-oriented work environment.

Add these skills to join the top 1% applicants for this job

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At PwC Spain, we are a leading firm in professional services, committed to excellence in the control of financial, non-financial, and ESG risks. We are looking to incorporate consultants with 2 to 5 years of experience to join our Governance, Risk & Compliance (GRC) team, within the Credit Risk area. If you are interested in combining quantitative analysis, financial regulation, and the use of advanced technologies such as Generative AI, Machine Learning, and advanced analytics, this is your opportunity!

What will you do day-to-day?

You will participate in strategic projects for large financial entities (banks, asset managers, insurers, and regulators), where you will be able to:

Develop credit risk models (scoring, rating, PD, LGD, EAD) in accordance with CRR, EBA, and BdE regulations.
Review IRB (capital) and IFRS9 (provisions) models through statistical tests and regulatory analysis.
Integrate ESG risks (transition and physical) into credit models and Pillar 2 capital calculations (ICAAP).
Collaborate in EBA stress testing exercises, participating in the calculation, documentation, and defense of results.
Optimize capital and provision models, applying regulatory levers.
Develop predictive models and Machine Learning algorithms for risk assessment.
Experiment with Generative AI (LLMs, text and voice analysis, automatic report generation or chatbots).
Analyze data, create predictive variables, and monitor model performance.

What are we looking for?

Education: Degree in Economics, Mathematics, Statistics, Engineering, Business Administration, or similar.
Valued: Master's degree or specialization courses in Quantitative Finance, Data Science, or related areas.
Experience: 2 to 5 years in consulting or credit risk (IFRS9, IRB models, provisions, regulatory or economic capital).
Technical knowledge: programming in SAS, R or Python; analysis and visualization tools (Power BI, Tableau, Power Apps…).
Personal competencies: analytical thinking, teamwork, commitment, communication, and leadership.
Languages: high level of English.

What do we offer you?

Participate in high-impact projects with the main entities in the financial sector.
Continuous training in risks, regulation, and advanced technologies.
Be part of a leading multinational firm, with real opportunities for professional growth and professional development.
Collaborative, dynamic, and innovation-oriented work environment.

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