Senior Credit Risk Modelling Consultant

About the role

PwC’s Financial Services Risk and Regulatory team is seeking a Senior Credit Risk Modelling Consultant to join its Credit Risk practice in Brussels. You will work with leading financial institutions to design, develop, and validate quantitative credit risk models that support regulatory capital calculations, pricing, and risk management.

Key responsibilities

• Develop and validate credit risk models, including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) under IRB frameworks.
• Perform capital requirement calculations, credit VaR, and pricing model development.
• Support clients in implementing Basel IV, IFRS 9, CRR/CRD IV, and related regulatory requirements.
• Provide consultancy on risk appetite frameworks, risk identification, measurement, and mitigation.
• Collaborate with cross‑functional advisory teams on non‑regulatory modelling projects such as early‑warning, profitability, fraud, and collection models.
• Maintain up‑to‑date knowledge of regulatory changes and their impact on client portfolios.

Required profile

• Master’s degree or PhD in economics, statistics, quantitative finance, mathematics, engineering or a related quantitative discipline.
• 4 to 8 years of professional experience in credit risk modelling or validation within bank credit risk departments.
• Strong understanding of Basel accords, especially Basel IV, and accounting standards such as IFRS 9.
• Experience with regulatory credit risk frameworks (CRR/CRD IV) and risk management processes.

Required skills

• Credit risk modelling (PD, LGD, EAD)
• IRB modelling and validation
• Capital requirement calculation
• Credit VaR and pricing models
• Risk management framework implementation
• Basel IV regulatory knowledge
• IFRS 9 compliance
• CRR/CRD IV requirements