Senior Credit Risk Modelling Consultant

PwC; Brussel Hoofdstad; Hybrid; EUR 90,000 - 140,000; Full time

Benefits offered by this job

Flexible working hours

Learning & development opportunities

Flexible rewards plan

Diversity & inclusion initiatives

Mobility budget

Job summary

PwC Belgium seeks a Credit Risk Professional to join the Financial Services Risk and Regulatory team. You will work on capital requirement calculations, IRB modelling, credit VaR and pricing, with a strong emphasis on regulatory developments and cross-functional collaboration across advisory projects.

You should have 4–8 years in credit risk roles, strong programming skills, and fluency in Dutch and/or French with English proficiency.

Qualifications

• Master’s degree or PhD in economics, statistics, quantitative finance, mathematics or engineering is preferred.
• 4–8 years of professional credit risk experience in banks, focusing on regulatory models (PD, LGD, EAD).
• Knowledge of Basel IV, CRR/CRDIV and IFRS9 requirements; risk framework and risk appetite knowledge.

Responsibilities

• Build and validate credit risk models and IRB methodologies.
• Provide client advisory on regulatory developments and risk quantification.
• Develop proposals and deliver end-to-end risk solutions for financial services clients.

Skills

Quantitative analysis

Client relationship

Proposal development

Education

Master's or PhD in economics/statistics/quantitative finance/engineering

Tools

Python

R

SAS

Job description

Line of Service Assurance Industry/Sector Not Applicable Specialism Assurance Management Level Senior Associate

Job Description & Summary Contribute to creating a better tomorrow

The Financial Services Risk and Regulatory team at PwC advises leading financial services organisations on a wide variety of risk and capital management issues. These range from the implementation of new regulatory requirements, such as Basel reform and IFRS9, and the remediation following supervisory inspections, to defining and setting risk appetite and improving risk management throughout the organisation. We have significant growth plans and are looking for ambitious and dedicated professional advisors in the area of credit risk quantification: capital requirement calculation, IRB modelling, credit VaR, credit pricing, business modelling including early warning systems, collection models etc. We’re looking for a talented Credit Risk (Senior) Manager to join our Financial Services department as part of our Credit Risk team. Bring your talent. Learn new skills. Make a positive impact.

As a Credit Risk Professional, you have a strong transversal view on the risk areas and are able to connect quantitative capabilities, regulatory requirements, accounting standards and risk framework. On a weekly basis, you will support in many areas: Strengthen client relationships through tailor made professional services for our clients and develop new business networks. Prepare and present proposals to clients for end-to-end solutions. Keep track of new regulations and their impact on our clients and the market. Work closely with your colleagues in other areas of advisory especially in delivering cross-functional projects. Provide consultancy on regulatory developments and/or credit risk modelling; TRIM remediations, credit risk modelling, validation and model audit. Involvement in non-regulatory modeling projects to support the credit business of our clients, this includes but not limited to pricing, profitability, early warning, fraud and/or collection models.

About you

You graduated from quantitative departments such as economics, statistics or engineering. Holding a Master’s degree or PhD in economics, statistics, quantitative finance, mathematical or engineering discipline and a strong interest or qualification in credit risk management is a plus. In addition you are expected to have: A professional experience of 4 to 8 years in credit risk departments of banks in regulatory models (development and/or validation of PD, LGD and EAD models). Knowledge of a risk management framework (risk appetite framework, risk identification, risk measurement and risk mitigation), Basel Accord and recent developments (Basel IV) and general credit risk related regulatory requirements (CRR/CRDIV and IFRS9 requirements). Knowledge of credit risk quantification: capital requirement calculation, IRB modelling, credit VaR, credit pricing, business modelling including early warning systems, collection models etc. Good knowledge of programming languages such as Python, R or SAS. Knowledge of non-regulatory models is a plus. You are fluent in Dutch and/or French, with full professional proficiency in English.

Life at PwC Belgium

• Flexibility: flexible working hours so you can decide your most effective working pattern.
• Infinite learning and growing: broad opportunities to learn every day and exciting career pathways that help you explore different disciplines or areas of expertise.
• Rewards that matter to you: a flexible rewards plan gives you access to a wide range of benefits so you can make the choices that best fit your personal circumstances and lifestyle.
• Diversity & inclusion: we believe that diversity makes PwC stronger. It helps us solve important problems and deliver added value to our clients. We encourage an inclusive culture where people can be the best versions of themselves. We organise various D&I initiatives, including an active employee-led Employee Resource Group (ERG) community, comprising 9 diversity groups with over 200 PwC employees aiming to make an impact within and beyond PwC.
• A sustainable mobility offer: we offer a comprehensive mobility budget with a wide range of options (hybrid and electric cars, bike leasing, mobility card or loan reimbursement).
• Well-being: an extensive health and well-being programme that includes access to professional sport coaching, individual sessions, sports communities and mental health resources. We encourage a healthy lifestyle with regular wellness challenges and various catering options at our cafeteria.
• Team events such as Last Friday Drinks, quarterly themed parties, team-building days and celebrations, as well as time spent on community days and charity activities.
• International PwC network: broad access to industry expertise, both locally and through our wider global network of member firms.
• Supporting you in every phase of your life, including family friendly work schemes.

Equal Opportunity Employer statement

At PwC, we are dedicated to building a diverse, inclusive, and authentic environment. We are committed to providing equal employment opportunities for all candidates and employees, regardless of race, religion, gender identity or expression, sexual orientation, national origin, age, disability, marital status, or any other characteristic protected by law. We believe that a diverse and inclusive workplace drives innovation and strengthens our ability to serve our people, clients and communities. Join us in fostering a culture where everyone feels valued, respected and empowered to achieve their full potential. Additionally, we provide reasonable accommodations to qualified individuals with disabilities, in accordance with applicable laws.

Education (if blank, degree and/or field of study not specified) Degrees/Field of Study required: Degrees/Field of Study preferred: Certifications (if blank, certifications not specified) Required Skills Optional Skills Accepting Feedback, Accepting Feedback, Active Listening, Analytical Thinking, Business Decisions, Business Performance Management, C-Level Presentations, Communication, Compliance Frameworks, Compliance Policies, Compliance Program Implementation, Compliance Review, Controls Testing, Corporate Governance, Creativity, Embracing Change, Emotional Regulation, Empathy, External Audit, Finance Target Operating Model, Finance Transformation, Financial Reporting, Fraud Detection, Fraud Prevention, Group Facilitation {+ 17 more} Desired Languages (If blank, desired languages not specified) Travel Requirements 0% Available for Work Visa Sponsorship? No Government Clearance Required? Yes Job Posting End Date

Are you ready to make a difference? Want to unlock new value by applying your unique perspective and talents? You can grow exponentially at PwC. Here, you can uncover hidden talents, build lifelong relationships rooted in trust and empathy and turn challenges into opportunities for innovation. We’ll help you grow your skills through challenging, meaningful work so you can go further.