Credit Risk Modelling Senior Associate (Bilingual FR/EN)

PwC•Montreal, QC

6d•CA$73,400 - CA$122,400•Hybrid

About The Position

A career in our Financial Services Risk and Regulatory (FS R&R) 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 (IFRS 9 ECL and CECL), capital measurement/stress testing. As part of the team, you’ll help with credit risk modeling, model risk management as well as climate risk 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.

Requirements

Sufficient 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. IFRS 9)
Development, implementation and assessment of quantitative credit risk measurement methodologies
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/softwares: Python, R, SQL, SAS, C++, etc.
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
Communications skills demonstrated through the ability to write proposals, reports, presentations, etc.
Demonstrated ability to manage and prioritize multiple projects
A demonstrated commitment to valuing differences and working alongside diverse people and perspectives
The successful candidate requires fluency in English, in addition to French as they will be required to support or collaborate with English-speaking clients, colleagues and/or stakeholders during the course of their employment with PwC Canada

Nice To Haves

Master’s degree in Economics, Statistics, Mathematics, Physics, Engineering, Financial Engineering, Data Science or other relevant fields would be an asset
PRM, FRM or CFA designation would be an asset

Responsibilities

Model development, validation and implementation 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., IFRS 9).
Assist assurance teams with reviews of clients’ model development and validation processes
AI and machine learning 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 GenAI, cloud, climate risk modeling etc.