We are seeking a Experienced Consultant to join our FRM team with a focus on Model Development and Model Validation of Risk Models
Experienced Consultant Financial Risk Modelling – Credit Risk
Financial Risk Management team advises leading banking groups on a wide variety of risk, value and capital management issues. These include:
- Portfolio modelling (risk aggregation and allocation)
- Model governance and review
- Model validation and assurance
- Portfolio profitability and optimisation
- Regulatory modelling (stress testing/IMM/FRTB/Solvency II)
- Credit risk modelling and IFRS 9
- Valuations support
You will be part of modelling team of approximately 40 modelling specialists. You will be involved in projects for banking clients, responsible for your own work and for supporing less experienced team members. Typically projects are realted to development or implementation of various risk models, assurance and audit support, and independent validation involvements. Your clients will be located across EMEA region.
- At least 3-years of experience gained in risk modelling area gained in consulting company or financial sector.
- MSc degree in, preferably, mathematics, econometrics or physics.
- Experience in the development of stress testing models (PD/LGD/EAD), including a sound practical understanding of macroeconomic relationships. Knowing key stress testing regulatory exercises is a plus (e.g. EBA, CCAR, CUSO).
- Strong knowledge of:
- Financial mathematics, specially probability theory, matrix algebra and their application in financial institutions;
- Statistical techniques in risk modelling;
- Credit and market risk management for banking and trading book.
- Minimum intermediate level of working with SQL, R or SAS.
- Strong English communication skills, with particular emphasis on communicating technical complexity to both technical and non-technical audiences.
- Creativity and problem-solving skills in individual, team and collaborative consultant-client settings.
- Strong organizational skills
- Openness and willingness to share ideas and knowledge and contribute to personal and team success
- Flexible working locations (Warsaw, Cracow. Zurich) - depends on the project
- Be a member of fast growing, successful team of high-profile consultants providing services to reputable Clients in financial sector;
- Opportunity to build unique competences in the global PwC network;
- Opportunity to broaden your professional experience;
- Great atmosphere and a comfortable working environment.