We are seeking a Experienced Consultant to join our FRM team with a focus on Model Development and Model Validation of Risk Models

Experienced Consultant

Financial Risk Modelling

Financial Risk Management team advises leading banking groups on a wide variety of risk, value and capital management issues. These include:

• Credit risk modelling (rating, scoring, risk parameters) for internal and regulatory purposes
• Stress testing (EBA, CCAR, local)
• IFRS 9

Role:

You will be part of modelling team of approximately 40 modelling specialists. You will be involved in projects for banking clients, responsible for your own work and for supporting less experienced team members. Typically projects are related to development or implementation of various risk models, assurance and audit support, and independent validation involvements. Your clients will be located across EMEA region.

Candidate’s profile:

• At least 3-years of experience gained in risk modelling area gained in consulting company or financial sector.
• MSc degree in, preferably, mathematics, econometrics or physics.
• Experience in credit risk modelling, in particular in the development, maintenance or validation of:
  • Pillar I PD, LGD, EAD models or
  • Stress testing models (PD/LGD/EAD), including a sound practical understanding of macroeconomic relationships. Knowing key stress testing regulatory exercises is a plus (e.g. EBA, CCAR, CUSO).
• Strong knowledge of:
  • Financial mathematics, specially probability theory, matrix algebra and their application in financial institutions;
  • Statistical techniques in risk modelling;
  • Credit and market risk management for banking and trading book.
• Minimum intermediate level of working with SQL, R or SAS.
• Strong English communication skills, with particular emphasis on communicating technical complexity to both technical and non-technical audiences.
• Creativity and problem-solving skills in individual, team and collaborative consultant-client settings.
• Strong organizational skills.
• Openness and willingness to share ideas and knowledge and contribute to personal and team success.
• Flexible working locations (Warsaw, Cracow. Zurich) - depends on the project.

We offer: 

• Be a member of fast growing, successful team of high-profile consultants providing services to reputable Clients in financial sector;
• Opportunity to build unique competences in the global PwC network;
• Opportunity to broaden your professional experience;
• Great atmosphere and a comfortable working environment.

We work in a changing world which offers great opportunities for people with diverse backgrounds and experiences. We seek to attract and employ the best people from the widest talent pool, as well as those who reflect the diverse nature of our society. We aim to encourage a culture where people can be themselves and be valued for their strengths. Creating value through diversity is what makes us strong as a business and as an organization with an increasingly agile workforce, we're open to flexible working arrangements where appropriate.