Credit Risk Modelling Senior Associate (Bilingual FR/EN)

About the role

PwC Canada is hiring a bilingual (French and English) Credit Risk Modelling Senior Associate in Montreal for its Financial Services Risk and Regulatory (FS R&R) practice. The team helps financial institutions assess, design and develop solutions for risk management, including predictive modeling, expected credit loss measurement (IFRS 9 ECL and CECL), capital measurement and stress testing, and climate risk modeling.

Key responsibilities

• Develop, validate and implement retail and wholesale credit risk methodologies, including obligor and facility risk ratings, Basel regulatory capital and economic capital models, and allowance for loan and lease loss models (e.g. IFRS 9)
• Support assurance teams in reviewing clients' model development and validation processes
• Develop and validate AI and machine learning models
• Carry out model risk governance and controls activities across multiple asset classes
• Help lead client proposals, white papers and thought leadership on topics such as GenAI, cloud and climate risk modeling
• Build and maintain client relationships

Required profile

• Sufficient experience in financial services risk and credit risk modeling, including retail and wholesale techniques for adjudication, capital management and allowance modeling (e.g. IFRS 9)
• Experience developing, implementing and assessing quantitative credit risk measurement methods
• Knowledge of credit risk processes, analytics, risk rating methodologies and risk management policies and structures
• Fluency in English and French, as English-speaking clients, colleagues and stakeholders must be supported
• Proven ability to solve problems creatively, manage multiple projects and communicate through proposals, reports and presentations
• Master's degree in Economics, Statistics, Mathematics, Physics, Engineering, Financial Engineering, Data Science or a related field is an asset; PRM, FRM or CFA is an asset

Required skills

• Significant experience in at least one programming language or software: Python, R, SQL, SAS, C++, etc.
• Use of credit risk management software and data in client engagements

The salary range is $75,400 - $125,400, and the position follows the departure of a team member.