Senior Credit Risk Modeler
Job Summary
Job Description
- BSc/MSc in quantitative discipline
- 3+ years experience
- IFRS 9, BASEL knowledge
- SAS, R, SQL, Excel-VBA
- Credit risk modeling expertise
- Model development & validation
- R Studio
- Data science & programming experience
- Professional development
- Training & career growth
- International mobility
- Team-oriented environment
- Up-to-date technologies
- Competitive salary & benefits
5 skills required
Job Details
Job Description & Summary
A career within Risk Assurance team, will provide you with the opportunity to be responsible with statistics/ econometrics and the intellectual challenges that come with them. The successful candidate will be responsible for supporting the team with model development and validation and other quantitative activities in a great variety of risk and regulatory projects, mainly for banks and other financial institutions.What will you be doing:
- Work closely with subject matter professionals as part of advisory engagements related primarily to credit risk
- Perform quantitative tasks (model development, validation, research), particularly in credit risk modelling involving scorecards, PD/ LGD/ EAD modelling, stress testing, economic capital models etc.
- Create model documentation describing business use, conceptual approach, mathematical logic, and implementation and testing approach for the model developed
- Develop other quantitative and statistical models based on the client’s business and regulatory requirements
- Build and maintain strong working relationships internally and with client personnel.
What we need from you
- BSc or MSc in Mathematics, Statistics, Computer Science, Financial Engineering, Econometrics, Economics, or another quantitative discipline
- Minimum of 3 years’ experience
- Experience with IFRS 9, BASEL, SAS, R, SQL, Excel-VBA or R Studio
- Ability to understand client challenges and propose value-added solutions.
- Data science and Programing experience
- Ability to understand client challenges and propose value-added solutions
- Strong English and Romanian language skills
What we offer
- Professional development, trainings and career growth opportunities
- International mobility and short-term projects abroad
- A professional and team-oriented work environment
- Up-to-date technologies and methodology
- Competitive salary and attractive package benefits
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About The Company
At PwC, our purpose is to build trust in society and solve important problems. We’re a network of firms in 152 countries with over 327,000 people who are committed to delivering quality in assurance, advisory and tax services. Find out more and tell us what matters to you by visiting us at www.pwc.com. PwC refers to the PwC network and/or one or more of its member firms, each of which is a separate legal entity.
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