Senior credit risk modelling specialist (Senior Manager / Director)
PWC
Zürich, Zürich, Schweiz
vor 12 Tg.
source : JobLeads GmbH

You are part of a diversified team of risk and regulatory experts in which you will offer advisory, validation, audit and other assurance services on credit models used for the management of credit risks, the calculation of accounting provisions and usage for internal ratings-

based approaches (IRB) for capital adequacy The scope of the services of your team will also include credit risk measurement and management, Economic Risk Capital (ERC) and stress testing for which you have experience in using techniques such as econometrics, financial mathematics and quantitative risk management to validate and assess scenario expansion models You take a leading role in the audit of the Internal-

Ratings Based (IRB), Internal Model Method (IMM) approaches for counterparty and credit valuation adjustment (CVA) of leading banks in Switzerland.

This entails providing assurance and adding value on model permissions under the current Basel 3 rules and the future Basel 4 rules.

You and your team provide your Subject Matter Expert (SME) inputs into audits with a specific focus on adherence to modelling of risk, valuation, stress testing and other decision-

making areas You develop products using emerging technologies available at PwC such as Robotic Process Automation (RPA) and Artificial Intelligence (AI) and offer advisory services on credit risk management You are actively involved in developing value-

adding client proposals and solutions and taking these to the market. You interact with risk managers, traders, model developers and validators, internal auditors and regulators You are involved in local and global initiatives of PwC such as regulatory reform such as Basel 4 or market reforms such as the reforms of reference rates You build on an existing specialist reputation in the market by speaking at external and internal conferences, professional networks and the publication of articles and flyers Senior credit risk modelling specialist (Senior Manager / Director) You have a Master or PhD degree in an applied quantitative discipline (e.

g. Econometrics, Statistics, Financial Engineering, Computational Science, Quantitative Finance) and you may have completed your CFA or FRM diploma You have 8 -

15 years of experience of working in capital markets either in a line, advisory, audit or in a supervisory capacity in the banking industry You have a strong record of accomplishment of developing new business or you have experience in assurance or prudential work on credit risk management and measurement.

This includes strong knowledge of IRB approaches to calculate capital requirements for credit risks and both advanced and standardised approaches for counterparty credit risks (Internal Models Method, SA-

CCR) You are able to work independently and as a strong team player, the role involves coordinating multiple demands and priorities which requires attention to details, strong analytical and problem-

  • solving skills and the ability to deliver consistent quality results You have the ability to develop strong client relationships both externally and internally to increase consulting and assurance opportunities You have excellent communication skills in German and English, French would be an asset;
  • a key emphasis will be to communicate technical complexity to both technical and non-technical audiences with will occasionally include regulators You have experience is programming language and coding such as Knowledge of at least one of the following VBA, Matlab, C++, C#, R, SAS Are you passionate and ready to shape the future?

    Then you've got what it takes to reimagine the possible. At PwC, we create value for both our people and clients in Assurance, Tax & Legal, Consulting, Deals and Digital Services.

    And you can do the same. Want to make an impact and shape the future of a leading professional services firm? Are you passionate and ready to embrace change?

    Then you've got what it takes to reimagine the possible. Everyone's career path is unique. That's why PwC offers countless personal and professional development opportunities that fit with your aspirations, supporting you to grow your own way so you can become everything you want to be and more.

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