IN-Senior Associate Credit Risk Quant Captive Financial Services Advisory Bengaluru

Line of Service

Advisory

Industry/Sector

FS X-Sector

Specialism

Operations

Management Level

Senior Associate

Job Description & Summary

A career within Financial Risk and Regulatory services, will provide you with the opportunity to help business leaders embed a proactive and dynamic risk management capability and mind set into their corporate business practices. From strategy through to implementation, we help put in place people, processes and technology so they can leverage financial risk management to identify new opportunities and pursue success as smoothly, systematically and sustainably as possible in the face of changing markets, technologies and competition.

*Why PWCAt PwC, you will be part of a vibrant community of solvers that leads with trust and creates distinctive outcomes for our clients and communities. This purpose-led and values-driven work, powered by technology in an environment that drives innovation, will enable you to make a tangible impact in the real world. We reward your contributions, support your wellbeing, and offer inclusive benefits, flexibility programmes and mentorship that will help you thrive in work and life. Together, we grow, learn, care, collaborate, and create a future of infinite experiences for each other. Learn more about us.At PwC, we believe in providing equal employment opportunities, without any discrimination on the grounds of gender, ethnic background, age, disability, marital status, sexual orientation, pregnancy, gender identity or expression, religion or other beliefs, perceived differences and status protected by law. We strive to create an environment where each one of our people can bring their true selves and contribute to their personal growth and the firm’s growth. To enable this, we have zero tolerance for any discrimination and harassment based on the above considerations. "

Job Description & Summary:

PwC India is seeking an experienced Credit Risk Quantitative Analyst to join our team. The ideal candidate will have a strong background in model development or validation, with a focus on credit risk management. This role requires expertise in IFRS 9, CECL, and other key areas relevant to credit risk. The successful candidate will contribute to the development and validation of credit risk models, ensuring compliance with regulatory standards and best practices.

Responsibilities:

Develop and/or validate credit risk models, including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models.

· Ensure compliance with IFRS 9, CECL, and other relevant regulatory requirements.

· Conduct quantitative analysis and stress testing to assess model performance and risk exposure.

· Collaborate with cross-functional teams to gather data, refine model assumptions, and improve model accuracy.

· Document model development and validation processes, including methodologies, assumptions, and findings.

· Provide insights and recommendations to improve credit risk management practices and strategies.

· Stay updated on industry trends, regulatory changes, and advancements in quantitative modeling techniques.

· Participate in internal and external audits, addressing any findings related to credit risk models.

Qualifications:

· Master’s or Ph.D. degree in Quantitative Finance, Statistics, Mathematics, Economics, or a related field.

· Proven experience in credit risk model development or validation, particularly under IFRS 9 and CECL frameworks.

· Strong quantitative and analytical skills, with a solid understanding of statistical and mathematical modeling.

· Proficiency in programming languages such as Python, R, SAS, or MATLAB.

· Familiarity with data management tools and techniques, including SQL and data visualization platforms.

· Excellent communication skills, with the ability to explain complex concepts to non-technical stakeholders.

· Strong attention to detail and the ability to manage multiple projects and deadlines.

Mandatory skill sets:

Credit Risk Model Development or Validation

Preferred skill sets:

Proficiency in programming languages such as SQL

Years of experience required:

5+ Years

Education qualification:

Master’s or Ph.D. degree

Education (if blank, degree and/or field of study not specified)

Degrees/Field of Study required: Chartered Accountant Diploma

Degrees/Field of Study preferred:

Certifications (if blank, certifications not specified)

Required Skills

Market Risk

Optional Skills

Accepting Feedback, Accepting Feedback, Active Listening, Analytical Thinking, Anti-Bribery, Anti-Money Laundering Compliance, Business Ethics, Code of Ethics, Communication, Compliance and Governance, Compliance and Standards, Compliance Auditing, Compliance Frameworks, Compliance Program Implementation, Compliance Reporting, Compliance Review, Compliance Risk Assessment, Compliance Training, Controls Compliance, Creativity, Cybersecurity Risk Management, Data Analysis and Interpretation, Data Protection Management (DPM), Disability Support, Embracing Change {+ 30 more}

Desired Languages (If blank, desired languages not specified)

Travel Requirements

Not Specified

Available for Work Visa Sponsorship?

No

Government Clearance Required?

No

Job Posting End Date