Senior Credit Risk Modeler

7 Months ago • 3 Years +

Job Summary

Job Description

This Senior Credit Risk Modeler role involves supporting a team in model development and validation for banks and financial institutions. Responsibilities include working with subject matter professionals on advisory engagements related to credit risk, performing quantitative tasks (model development, validation, research) in areas like scorecards, PD/LGD/EAD modeling, stress testing, and economic capital models. The role requires creating comprehensive model documentation, developing statistical models based on client needs, and building strong working relationships with internal teams and clients. The ideal candidate will have experience with IFRS 9 and Basel regulations.
Must have:
  • BSc/MSc in quantitative discipline
  • 3+ years experience
  • IFRS 9, BASEL knowledge
  • SAS, R, SQL, Excel-VBA
  • Credit risk modeling expertise
  • Model development & validation
Good to have:
  • R Studio
  • Data science & programming experience
Perks:
  • Professional development
  • Training & career growth
  • International mobility
  • Team-oriented environment
  • Up-to-date technologies
  • Competitive salary & benefits

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.


Content on this page has been prepared for general information only and is not intended to be relied upon as accounting, tax or professional advice. Please reach out to your advisors for specific advice.

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