IN_Senior Associate _ Credit Risk Quant _ Financial Services Risk_Advisory_Mumbai
PWC
5 - 10 years
Mumbai
Posted: 16/01/2025
Job Description
Line of Service
AdvisoryIndustry/Sector
FS X-SectorSpecialism
RiskManagement Level
Senior AssociateJob Description & Summary
•Bachelor's or Master's degree in finance, economics, mathematics, or a related field•6+ years of relevant experience in credit risk management, with knowledge of PD/LGD/EAD, CCAR loss estimation & PPNR, PRA stress testing, Scenario analysis, IRB, IFRS 9, CCEL, credit rating models, and other credit risk models
•Advanced statistical and quantitative modelling skills: Linear regression, logistic regression, ARIMA modelling, Markov Chain, Merton Model, and other data mining/predictive modelling skills
•Strong programming skills in Python, R, SAS, Excel VBA, and other programming languages
•Good soft skills, including effective communication, team collaboration, and client engagement
•Strong project management skills
•FRM, CFA, CQF would be a plus
*Why PWC
At PwC, you will be part of a vibrant community of solvers that leads with trust and creates distinctive outcomes for our clients and communities. This purpose-led and values-driven work, powered by technology in an environment that drives innovation, will enable you to make a tangible impact in the real world. We reward your contributions, support your wellbeing, and offer inclusive benefits, flexibility programmes and mentorship that will help you thrive in work and life. Together, we grow, learn, care, collaborate, and create a future of infinite experiences for each other. Learn more about us.
At PwC, we believe in providing equal employment opportunities, without any discrimination on the grounds of gender, ethnic background, age, disability, marital status, sexual orientation, pregnancy, gender identity or expression, religion or other beliefs, perceived differences and status protected by law. We strive to create an environment where each one of our people can bring their true selves and contribute to their personal growth and the firm’s growth. To enable this, we have zero tolerance for any discrimination and harassment based on the above considerations. "
Responsibilities:
- Expert in the Model development primarily for PD/LGD/EAD, CCAR loss estimation & PPNR, PRA stress testing, Scenario analysis, IRB, IFRS 9, CCEL, credit rating models, and other credit risk models for retail, commercial or wholesale domain as per regulatory guidelines such as Capital Requirement Regulation (CRR) / Capital Regulation Directive (CRD) IV/ IFRS9 and BASEL
- Expert in the Model validation process involves understanding of model validation/ Risk Management guidelines such as SR 11/7 and SS 3/18, model development document, testing, and benchmarking and report writing
- Sound knowledge of current market trends and the regulatory agenda related to credit risk models particularly from a UK/US/European context
- Ability to independently review model documentations, undertake appropriate qualitative & quantitative analysis and author high quality analytical documentation
- Assist clients in developing and implementing credit risk models, providing advice and guidance as needed
- Prepare and deliver presentations to clients on credit risk topics
- Manage projects and ensure deliverables are completed on time and within budget
- Good written and verbal communication and presentation skills and ability to build report with the stakeholders to suggest the solution and communicate the impacts
Mandatory skill sets:
Credit Risk Quant
Preferred skill sets:
Model Development / Validation
Years of experience required:
4+ Years
Education qualification:
MBA/CA
Education (if blank, degree and/or field of study not specified)
Degrees/Field of Study required: Chartered Accountant Diploma, Master of Business AdministrationDegrees/Field of Study preferred:Certifications (if blank, certifications not specified)
Required Skills
Credit Risk ManagementOptional Skills
Model DevelopmentDesired Languages (If blank, desired languages not specified)
Travel Requirements
Not SpecifiedAvailable for Work Visa Sponsorship?
NoGovernment Clearance Required?
NoJob Posting End Date
About Company
PricewaterhouseCoopers (PwC) is a global professional services firm providing audit, tax, and consulting services. PwC helps organizations manage financial risks, comply with regulations, and improve performance through its expertise in industries like finance, healthcare, and technology.
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