Senior Credit Risk Modelling Consultant

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.

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.

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.

• You are fluent in Dutch and/or French, with full professional proficiency in English.

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.

At PwC, we are dedicated to building a diverse, inclusive, and authentic environment. We are committed to providing equal employment opportunities for all candidates and employees, regardless of race, religion, gender identity or expression, sexual orientation, national origin, age, disability, marital status, or any other characteristic protected by law.

We believe that a diverse and inclusive workplace drives innovation and strengthens our ability to serve our people, clients and communities. Join us in fostering a culture where everyone feels valued, respected and empowered to achieve their full potential.

Additionally, we provide reasonable accommodations to qualified individuals with disabilities, in accordance with applicable laws.