The role
As a Senior Associate, you will work directly with clients, report to the leadership team and work alongside senior specialists who will coach and support you, to deliver an exciting range of credit risk modelling and validation projects (IFRS 9, IRB or stress testing).
Skills and Experience
1. Experience working within a banking organisation or professional services firm, specialising in at least one area of credit risk modelling (provisioning, capital or stress testing), for Retail or Wholesale portfolios.
2. Good understanding of credit risk concepts and associated regulatory requirements, including at least one of: IFRS 9, IRB or Stress Testing
3. Experience with at least one of the following (or similar): SAS, SQL, R, Python
Key Responsibilities
4. Credit risk model development, including support on future modelling considerations and the impact of regulatory changes.
5. Specialist review and challenge of IFRS 9 models for our audit clients.
6. End-to-end model validation - including validation of data, review and challenge of conceptual soundness and underlying assumptions, assessing model limitations, performing quantitative testing, and delivering exhaustive reports.
7. Interaction with stakeholders including credit risk managers, model development / validation teams, and internal stakeholders across PwC.
8. Helping to develop our internal propositions to take to market, including in emerging areas such as ESG.
9. Maintaining an up-to-date view of regulatory and industry developments - enabling knowledge sharing with the wider team and the ability to maintain leading edge best practice.