Credit Risk Modelling Senior Associate

About the role

PwC's Financial Services Risk & Regulatory Group, Financial Risk Management practice, is hiring a Credit Risk Modelling Senior Associate in Toronto. The team helps financial institutions assess, design and develop solutions for risk, including predictive modeling, expected credit loss measurement (IFRS9 and CECL), capital measurement and stress testing, and model risk management. The role covers credit risk modeling, model risk management and AI/ML/GenAI modeling.

Key responsibilities

• Develop, validate and internally audit retail and wholesale credit risk methodologies, including obligor and facility risk ratings, Basel regulatory and economic capital models, and allowance for loan and lease loss models (e.g. IFRS9)
• Assist assurance teams in reviewing clients' model development and validation processes
• Develop and validate AI, machine learning and generative AI models
• Support clients with model risk governance and controls across multiple asset classes
• Help write client proposals, white papers and thought leadership on topics such as machine learning, GenAI and climate risk modeling
• Maintain effective client relationships

Required profile

• Master's degree in Statistics, Mathematics, Physics, Engineering, Financial Engineering, Data Science or another relevant field
• Experience in financial services risk and credit risk modeling, including retail and wholesale techniques, capital management and allowance modeling (e.g. IFRS9)
• Knowledge of credit risk processes, analytics, risk rating methodologies and risk management policies and structures
• Proven ability to use credit risk management software, data and methodology in client engagements
• Strong writing and communication skills, and ability to manage multiple projects
• PRM, FRM or CFA designation is an asset

Required skills

• Development, validation and assessment of quantitative credit risk measurement methodologies
• AI/ML modeling, with significant experience in at least one platform such as Vertex AI or Azure AI preferred
• Programming in Python, R, SQL, SAS or C++

The salary range is $73,400 - $122,400, and eligible employees may participate in variable incentive pay programs. The role is offered in a hybrid work environment.