Risk Modelling Senior Consultant

Job Description & Summary

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

Job Description

Your responsibilities:

Developing & documenting/ reviewing & enhancing IFRS 9 methodologies and models (PD, LGD, EAD)

Developing & documenting credit risk scoring models

Carrying out model validation or performance assessment/ monitoring

Reviewing & providing best practice guidance on credit risk governance, credit risk policy and procedure framework

Respond to ad-hoc analysis requests, demonstrating clear understanding of risk specific measurements

Building and maintaining strong relationships with new and established clients

Ensure and elaborate reports on portfolio quality and structure

Coordinating, coaching and training team members

Skills And Qualification

BSc or MSc in Mathematics, Statistics, Computer Science, Financial Engineering, Econometrics, Economics, or another quantitative discipline

Minimum of 4 years’ experience

Experienced in coordinating a team

Experience of credit risk modelling techniques

Knowledge of credit risk processes, governance and documentation

Experience in model development/validation including data extraction

Experience in data transformation, model development, user acceptance testing, model performance testing

Experience of Retail/Wholesale PD/LGD/EAD model

Understanding of key regulatory/ accounting requirements (e.g. IFRS 9, Basel, CECL)

Ability to understand and execute programming codes including SAS, R, Python

Ability to understand client challenges and propose value-added solutions

Excellent ability to manage timelines and meet deadline

Strong verbal and written communications skills in Romanian and English

What's in for you

Professional development, trainings and a fast career growth opportunity

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

ABOUT THE TEAM

PwC Romania is one of the world’s leading providers of Assurance, Tax and Advisory services with a network of firms in 158 countries and with over 250,000 people who are committed to delivering quality in assurance, advisory and tax services.

Our values

Our values define who we are, what we stand for, and how we behave.

They guide how we work with our clients and each other, inform the type of work we do, and hold us accountable to do our best. They govern our actions and determine our success.

The core values of PWC - integrity, making a difference, care, working together, and reimagining the possible have ensured streamlined company operations throughout, seamless coordination at work and focus on their primary goals.

Our Purpose and Vision

To build trust in society and solve important problems. In a rapidly changing business environment, our purpose is to deliver dynamic solutions through a foundation based on trust, helping clients make informed decisions and operate effectively within them.