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.