Risk Modelling Senior Consultant

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.