Credit Risk Modelling Senior Associate (Bilingual FR/EN)

PwC Canada; Montreal (administrative region); On-site; CAD 75,000 - 125,000; Full time

Job summary

PwC Canada in Canada is seeking a Credit Risk Modelling Senior Associate to help financial institutions rethink risk through modeling and governance. You will develop, validate and implement Retail and Wholesale credit risk models, IFRS 9/CECL, Basel capital and economic capital frameworks, and contribute to climate risk modelling.

You will build client proposals, collaborate with teams, and strengthen relationships while communicating in English and French.

Qualifications

• Sufficient experience and exposure to financial services risk practices, credit risk modelling incl. retail/wholesale
• Development, implementation and assessment of quantitative credit risk measurement methodologies
• Solid understanding of credit risk processes, analytics, risk rating methodologies and policies
• Proven ability in at least one programming language (Python, R, SQL, SAS, C++, etc.)
• Fluency in English and French for collaboration with diverse clients and stakeholders

Responsibilities

• Model development, validation and implementation of Retail and Wholesale credit risk methodologies (IFRS 9, Basel)
• AI and machine learning model development and validation
• Model risk governance and controls supporting clients across asset classes
• Lead and develop client proposals, white papers and thought leadership on topics like GenAI, cloud, climate risk
• Build and maintain strong client relationships

Skills

Credit risk modelling

AI/ML model development

Communication skills

Project management

Creative problem-solving

Fluent in English

Education

Master’s degree in Economics/Statistics/Mathematics/Physics/Engineering/Data Science

PRM/FRM/CFA designation (asset)

Tools

Python

R

SQL

SAS

C++

Job description

A career in our Financial Services Risk and Regulatory (FS R&R) 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 (IFRS 9 ECL and CECL), capital measurement/stress testing. As part of the team, you’ll help with credit risk modeling, model risk management as well as climate risk modeling for financial institutions.

The Opportunity

As a Credit Risk Modelling Senior Associate, unlock your potential and embrace the chance to drive meaningful outcomes that’ll elevate your career. Your role will include, but isn’t limited to:

• Model development, validation and implementation 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., IFRS 9). Assist assurance teams with reviews of clients’ model development and validation processes
• AI and machine learning 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 GenAI, cloud, climate risk modeling etc.
• Build and maintain effective, trusting and collaborative client relationships

What You'll Bring

• Sufficient 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. IFRS 9)
• Development, implementation and assessment of quantitative credit risk measurement methodologies
• 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/softwares: Python, R, SQL, SAS, C++, etc.
• Master’s degree in Economics, Statistics, Mathematics, Physics, Engineering, Financial Engineering, Data Science or other relevant fields would be an asset
• 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
• Communications skills demonstrated through the ability to write proposals, reports, presentations, etc.
• Demonstrated ability to manage and prioritize multiple projects
• A demonstrated commitment to valuing differences and working alongside diverse people and perspectives
• The successful candidate requires fluency in English, in addition to French as they will be required to support or collaborate with English-speaking clients, colleagues and/or stakeholders during the course of their employment with PwC Canada

This position ensures continuity and upholds our standards of excellence following the departure of a valued team member.

The salary range for this position is $75,400 - $125,400 . The posted salary range represents the expected hiring range for PwC locations in major city centres. Given our national recruiting approach, ranges may vary for positions in other locations. At PwC Canada, base salary is determined by your skills, experience, qualifications and work location. 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. We are committed to offering competitive compensation and adhere to all relevant pay transparency legislation. During the hiring process, our Talent Acquisition team will provide details about our comprehensive total rewards package.

Why you’ll love PwC

We’re inspiring and empowering our people to change the world. Powered by the latest technology, you’ll be a part of diverse teams helping public and private clients build trust and deliver sustained outcomes. This meaningful work, and our continuous development environment, will take your career to the next level. We reward your impact, and support your wellbeing, through a competitive compensation package, inclusive benefits and flexibility programs that will help you thrive in work and life.

PwC Canada acknowledges that we work and live across Turtle Island, on the land that is now known as Canada, which are the lands of the ancestral, treaty and unceded territories of the First Nations, Métis and Inuit Peoples. We recognize the systemic racism, colonialism and oppression that Indigenous Peoples have experienced and still go through, and we commit to allyship and solidarity.

We’re committed to providing accommodation throughout the application, interview, and employment process. If you require accommodation to be at your best, please let us know during the application process.

The use of artificial intelligence (AI) in recruiting is just getting started, so we know you have questions about how and why we use it. At certain points during our recruiting process, we rely on AI to improve your experience. This could be during resume review or curating personalized job recommendations, asking you clarifying questions via a chatbot or during our interview scheduling to improve your experience. Our use of AI helps ensure we combat bias by evaluating candidates equally and fairly, without seeing identity information, such as your name, or gender for example). AI also helps us better predict successful hires by reviewing all applicants for a role and the relationship between your skills, experience and likely success at PwC Canada. While AI supports parts of our recruitment process, final hiring decisions always involve human review. For more information about our use and protection of your data, please refer to our Privacy Policy (https://www.pwc.com/ca/en/privacy-policy.html).