Credit Risk Modelling Senior Consultant

Line of Service

Assurance

Industry/Sector

Not Applicable

Specialism

Assurance

Management Level

Senior Associate

Job Description & Summary

Contribute to creating a better tomorrow

The Financial Services Risk and Regulatory team at PwC advises leading financial services organisations on a wide variety of risk and capital management issues. These range from the implementation of new regulatory requirements, such as Basel reform and IFRS 9, and the remediation following supervisory inspections, to defining and setting risk appetite and improving risk management throughout the organisation. 

We have significant growth plans and are looking for ambitious and dedicated professional advisors in the area of credit risk quantification: capital requirement calculation, IRB modelling, credit VaR, credit pricing, business modelling including early warning systems, collection models etc.

We’re looking for a talented Credit Risk (Senior) Manager to join our Financial Services department as part of our Credit Risk team.

Bring your talent. Learn new skills. Make a positive impact.

As a Credit Risk Professional, you have a strong transversal view on the risk areas and are able to connect quantitative capabilities, regulatory requirements, accounting standards and risk framework. 

On a weekly basis, you will support in many areas:

• Strengthen client relationships through tailor made professional services for our clients and develop new business networks.

• Prepare and present proposals to clients for end-to-end solutions.

• Keep track of new regulations and their impact on our clients and the market.

• Work closely with your colleagues in other areas of advisory especially in delivering cross-functional projects.

• Provide consultancy on regulatory developments and/or credit risk modelling; TRIM remediations, credit risk modelling, validation and model audit.

• Involvement in non-regulatory modeling projects to support the credit business of our clients, this includes but not limited to pricing, profitability, early warning, fraud and/or collection models.

About you

You graduated from quantitative departments such as economics, statistics or engineering. Holding a Master’s degree or PhD in economics, statistics, quantitative finance, mathematical or engineering discipline and a strong interest or qualification in credit risk management is a plus. 

In addition you are expected to have: 

• A professional experience of 4 to 8 years in credit risk departments of banks in regulatory models (development and/or validation of PD, LGD and EAD models).

• Knowledge of a risk management framework (risk appetite framework, risk identification, risk measurement and risk mitigation), Basel Accord and recent developments (Basel IV) and general credit risk related regulatory requirements (CRR/CRD IV and IFRS 9 requirements).

• Knowledge of credit risk quantification: capital requirement calculation, IRB modelling, credit VaR, credit pricing, business modelling including early warning systems, collection models etc

• Good knowledge of programming languages such as Python, R or SAS.

• Knowledge of non-regulatory models is a plus.

• Excellent written and oral communication skills in English (Dutch or French is a plus) and  ability to demonstrate these skills effectively across all levels of the organisation.

Life at PwC Belgium

Our culture and workplace are something we’re proud of. Here’s a sneak peek at some of the benefits you can look forward to.

• Flexibility: flexible working hours so you can decide your most effective working pattern.

• Infinite learning and growing: broad opportunities to learn every day and exciting career pathways that help you explore different disciplines or areas of expertise.

• Rewards that matter to you: a flexible rewards plan gives you access to a wide range of benefits so you can make the choices that best fit your personal circumstances and lifestyle.

• Diversity & inclusion: we believe that diversity makes PwC stronger. It helps us solve important problems and deliver added value to our clients. We encourage an inclusive culture where people can be the best versions of themselves. We organise various