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

Consultant Financial Risk Modelling – Credit Risk

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. 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 1-year of experience gained in credit risk area gained in consulting company or financial sector.
• MSc degree in mathematics, statistics/econometrics, or physics.
• Experience in credit risk modelling, in particular in the development, maintenance or validation of Pillar I PD, LGD, CCF models or stress testing models is a plus.
• Good knowledge of:
  • Financial mathematics and its application in financial institutions;
  • Statistical techniques in risk modelling;
  • Credit risk.
• Knowledge at least one of the following: R, SQL or SAS.
• Very good command of English language second language is a plus.
• Creativity and problem-solving skills in individual, team and collaborative consultant-client settings.
• Strong commitment to both personal and team success.
• Openness and willingness to share ideas and knowledge.
• 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.