Credit Risk Modelling Senior Associate

Credit Risk Modelling Senior Associate at PwC Canada

A career in our Financial Services Risk & Regulatory Group - Financial Risk Management Credit Risk Modelling practice will provide you with the opportunity to help financial institutions rethink their approach to risk by developing a distinctive strategy and creating capabilities and performance. We play an important part in helping our clients assess, design and develop solutions that not only help them manage risk but also transform risk and complexity into a sustainable advantage. Our team helps financial institutions with predictive modeling needs, including but not limited to, measure and manage the risk associated with borrowers, counterparties or other third parties who have a financial or contractual commitment to them, expected credit loss measurement (IFRS9 and CECL), capital measurement/stress testing. As part of the team, you’ll help with credit risk modeling, model risk management as well as AI/ML/GenAI modeling for financial institutions.

Meaningful work you’ll be part of

As a Credit Risk Modelling Senior Associate, you'll work as part of a team of problem solvers, helping to solve complex business issues from strategy to execution. Responsibilities include but are not limited to:

• Model development, validation, internal audit of Retail and Wholesale credit risk methodologies including obligor and facility risk rating, Basel regulatory capital and economic capital models, allowance for loan and lease loss models (e.g., IFRS9).
• Assist assurance teams with reviews of clients’ model development and validation processes.
• Artificial Intelligence (AI)/machine learning (ML)/Generative AI (GenAI) model development and validation.
• Model risk governance and controls related activities supporting clients in managing model risk across multiple asset classes.
• Collaborate with the team members at various levels to lead and develop compelling client proposals, white papers, thought leadership and points of view, describing the business challenge and proposed business solution on the topics such as Machine Learning, GenAI and climate risk modeling, etc.
• Build and maintain effective, trusting and collaborative client relationships.

Experiences And Skills You’ll Use To Solve

• Proficient experience and exposure to financial services risk practices, credit risk modeling including retail and wholesale credit modeling techniques for adjudication, capital management, and allowance modeling/ or calculations (e.g. IFRS9).
• Development, validation and assessment of quantitative credit risk measurement methodologies.
• Proficient experience and exposure to AI/ML modeling, including theoretical approach and related technology and platforms; significant experience and proven ability in at least one of the main AI platforms: Vertex AI, Azure AI, etc. is preferred.
• Solid understanding and knowledge of credit risk processes, credit risk analytics, risk rating methodologies, risk management policies and risk management organization structures.
• Significant experience and proven ability in at least one of the following programming languages/software: Python, R, SQL, SAS, C++, etc.
• Master’s degree in Statistics, Mathematics, Physics, Engineering, Financial Engineering, Data Science or other relevant fields.
• PRM, FRM or CFA designation would be an asset.
• Proven abilities, especially creative problem-solving, to utilize credit risk management software, data and methodology in the completion of client engagements, including leveraging related technology vendors and their application.
• Strong writing skills demonstrated through the ability to draft proposals, reports, presentations, etc.
• Strong verbal and written communication skills demonstrated through interactions with other teams/team members at all levels.
• Demonstrated ability to manage and prioritize multiple projects.

Key skills/competency

• Credit Risk Modelling
• AI/ML/GenAI
• IFRS9 & CECL
• Model Validation
• Financial Services
• Basel Framework
• Quantitative Analysis
• Python/R/SQL/SAS
• Risk Management
• Client Consulting