Credit Risk Modelling Senior Associate

PwC; Toronto; On-site; CAD 101,325 - 168,967; Full time

Job summary

PwC South Africa is seeking a Senior Associate for its Financial Risk Management practice in Toronto. The role focuses on developing and validating credit risk models, utilizing AI and machine learning methodologies.

The successful candidate will help financial institutions rethink risk management strategies. A Master's degree in a quantitative field and experience in credit risk modeling are essential.

The salary range for this position is $73,400 - $122,400, with opportunities for incentive pay.

Qualifications

• Significant experience in credit risk modeling techniques for adjudication.
• Proficient in the development and validation of credit risk measurement methodologies.
• Strong writing and verbal communication skills.
• Ability to manage multiple projects effectively.

Responsibilities

• Develop and validate credit risk models for financial institutions.
• Collaborate with assurance teams on model validation processes.
• Develop AI/ML/GenAI models and manage model risk.
• Draft proposals, reports, and white papers for clients.

Skills

Financial services risk practices

Credit risk modeling

AI/ML modeling

Programming languages (Python, R, SQL)

Creative problem-solving

Education

Master’s degree in Statistics, Mathematics, Physics, Engineering, Financial Engineering, Data Science

Tools

AI platforms (Vertex AI, Azure AI)

Credit risk management software

Job description

Job Summary

Line of Service Assurance Industry/Sector Not Applicable Specialism Financial Risk Management Level Senior Associate Job Description & Summary A career in our Financial Services Risk & Regulatory Group - Financial Risk Management Credit Risk Modelling practice will provide you with the opportunity to help financial institutions rethink their approach to risk by developing a distinctive strategy and creating capabilities and performance. We play an important part in helping our clients assess, design and develop solutions that not only help them manage risk but also transform risk and complexity into a sustainable advantage. Our team helps financial institutions with predictive modeling needs, including but not limited to, measure and manage the risk associated with borrowers, counterparties or other third parties who have a financial or contractual commitment to them, expected credit loss measurement (IFRS9 and CECL), capital measurement/stress testing. As part of the team, you’ll help with credit risk modeling, model risk management as well as AI/ML/GenAI modeling for financial institutions.

Responsibilities

• Model development, validation, internal audit of Retail and Wholesale credit risk methodologies including obligor and facility risk rating, Basel regulatory capital and economic capital models, allowance for loan and lease loss models (e.g., IFRS9).
• Assist assurance teams with reviews of clients’ model development and validation processes.
• Artificial Intelligence (AI)/machine learning (ML)/Generative AI (GenAI) model development and validation.
• Model risk governance and controls related activities supporting clients in managing model risk across multiple asset classes.
• Collaborate with the team members at various levels to lead and develop compelling client proposals, white papers, thought leadership and points of view, describing the business challenge and proposed business solution on the topics such as Machine Learning, GenAI and climate risk modeling, etc.
• Build and maintain effective, trusting and collaborative client relationships.

Qualifications

• Proficient experience and exposure to financial services risk practices, credit risk modeling including retail and wholesale credit modeling techniques for adjudication, capital management, and allowance modeling/ or calculations (e.g. IFRS9).
• Development, validation and assessment of quantitative credit risk measurement methodologies.
• Proficient experience and exposure to AI/ML modeling, including theoretical approach and related technology and platforms; significant experience and proven ability in at least one of the main AI platforms: Vertex AI, Azure AI, etc. is preferred.
• Solid understanding and knowledge of credit risk processes, credit risk analytics, risk rating methodologies, risk management policies and risk management organization structures.
• Significant experience and proven ability in at least one of the following programming languages/software: Python, R, SQL, SAS, C++, etc.
• Master’s degree in Statistics, Mathematics, Physics, Engineering, Financial Engineering, Data Science or other relevant fields.
• PRM, FRM or CFA designation would be an asset.
• Proven abilities, especially creative problem‑solving, to utilize credit risk management software, data and methodology in the completion of client engagements, including leveraging related technology vendors and their application.
• Strong writing skills demonstrated through the ability to draft proposals, reports, presentations, etc.
• Strong verbal and written communication skills demonstrated through interactions with other teams/team members at all levels.
• Demonstrated ability to manage and prioritize multiple projects.

Compensation

The salary range for this position is $73,400 - $122,400. The posted salary range represents the expected hiring range for PwC locations in major city centres. In addition to base salary, eligible employees may have opportunities to participate in variable incentive pay programs which are designed to reward individual and firm‑wide achievements.