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Position: Senior credit risk modelling specialist (Manager/Senior Manager)
Institution: PricewaterhouseCoopers AG
Department: Advisory
Location: Zürich, Switzerland
Duties: You are part of the financial risk modelling team focused on quantitative advisory and auditing services in the area of risk measurement and management, including the calculation of regulatory capital under current and future requirements. You will work with a diversified team of risk and regulatory experts, data scientists, and actuaries; You will take a leading role in the audit and validation of Internal Rating-Based (IRB) approaches, Expected Credit Loss (ECL) models, Stress and Scenario Tests, and Economic Risk Capital (ERC) models employed by leading banks in Switzerland. This entails providing assurance and adding value on model permissions under the current Basel 3 and the future Basel 4 rules. You and your team provide Subject Matter Expert (SME) inputs into audits with focus on compliance with regulatory requirements about risk modelling, valuation, stress testing, and other areas of relevance for decision-making; You will take a leading role in assessing the appropriateness of models due for approval by various regulators; You will take a leading role in leveraging emerging technologies available at PwC, including Artificial Intelligence (AI) and Robotic Process Automation (RPA), around credit risk modelling; You are actively involved in developing value-adding client proposals and solutions and taking these to the market. You interact with risk managers, traders, model developers and validators, internal auditors, and regulators; You are involved in local and global initiatives by PwC, such as Regulatory Reform, e.g. Basel IV, or market reforms, e.g. the reform of reference interest rates; You build on an existing specialist reputation in the market by speaking at external and internal conferences, professional network events, and the publication of articles and flyers
Requirements: You have a Master or PhD degree in a quantitative discipline (e.g. Statistics, Econometrics, Actuarial Science, Financial Engineering, Physics, Mathematics, Quantitative Finance) and you may have completed your CQF, CERA, CFA, PRM, or FRM diploma; You have 4 to 10 years of experience of working in the area of quantitative financial modelling in the banking industry or in a supervisory capacity; Experience in assurance or prudential work on credit risk measurement and management would be an asset; Experience in interactions with FINMA would be an asset; You have in-depth knowledge of Internal Ratings-Based (IRB) approaches for credit risk, the standardized approach for counterparty credit risk (SA-CCR) measurement, and Expected Credit Loss (ECL) modelling; Knowledge of the Internal Model Method (IMM) would be an asset; You are able to work independently and as a strong team player. The role involves coordinating multiple demands and priorities, which requires attention to details, strong analytical and problem-solving skills, and the ability to consistently deliver quality results; You have the ability to develop strong client relationships, both externally and internally, in order to increase consulting and assurance opportunities; You have excellent communication skills in English. German or French would be an asset. A key emphasis will be to communicate technical complexity to both technical and non-technical audiences, which will occasionally include regulators; You have experience in coding and command at least one of the following programming languages: R, SAS, or Python
   
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