Overview
You are passionate about all things data related with a positive attitude. We are a high performing team with a passion for innovation and continuous improvement. Together we can deliver an exemplary experience for our stakeholders and the Group.
About The Team And Role
Risk Management is responsible for developing and deploying the risk frameworks to allow the Group to take conscious exposures to credit, market, operational, compliance and insurance risks within a Board-approved appetite. Risk Management ensures that the Group has appropriate strategies and frameworks in place to assess, manage and report on credit, market, operational, compliance and insurance risks. Model Development Chapter Area is a team within Risk Management that is responsible for developing credit risk models and performing advanced analytics across the Group to provide key risk and business insights. The team develops estimates for Probability of Default, Loss Given Default and Exposure at Default for credit portfolios, including retail and non-retail. These estimates form an integral part regulatory capital and collective provisioning requirements across all CBA lending business units, including ASB.
Key Responsibilities
This role will be part of a team of skilled quantitative analysts and contribute to the development, maintenance and enhancement of key non-retail credit risk models and methodologies across the CBA Group. As part of your role, you will interface on a day-to-day basis with other teams that have involvement in the credit modelling lifecycle across the Group, including the independent model validation unit; the users of the models we build; project teams that deliver solutions for our modelling data and analytics needs; enterprise services teams that implement the models we build within the bank's systems; and business unit risk teams that conduct model monitoring and fit-for-purpose validations.
Your core responsibilities include:
* Generating insights for CBA's credit portfolios, by building statistical models and performing analyses with sound application of advanced statistical and econometric techniques including, but not limited to, Time Series Analysis, Macroeconomic Modelling and Non-linear Regression, using R and Python.
* Actively contributing to projects to develop and enhance credit risk models, delivering outcomes with minimal supervision;
* Analysing the business impact of the models including changes to the Expected Loss, capital and Risk Weighted Assets as a result of model improvements or refreshes;
* Thoroughly documenting the modelling results and the thought process around the choice of modelling methodology in a concise and user-friendly form, to enable stakeholders to independently validate the final model and assess its impact;
* Working with the Group's data resources, as well as key data-related projects, to obtain and prepare data for modelling purposes as required. This will involve working with AWS, Teradata SQL or other related tools; and
* Interacting with stakeholders within business units and group model validation teams to seek input and share results on model development efforts as needed.
What We Are Looking For
* Proficiency in quantitative statistical modelling, including proven problem-solving skills to address modelling and data challenges.
* Diligent, collaborative and entrepreneurial work-style delivering error-free output using innovative techniques and working with remote and on-site teams across the unit to drive improved risk analytics;
* Demonstrated skills in written and verbal communication, including ability to interpret, report and present complex material, capability to prepare and review analysis papers and make sound recommendations to a range of stakeholders;
* Sound time management and prioritisation skills, and demonstrated ability to mentor/coach analysts as required;
* Experience in developing credit risk models to predict risk estimates such as PD, LGD and EAD to support credit risk decisions – ideally in non-retail portfolios;
* Experience in modelling using R or Python, using version control and collaboration platforms like GitHub, applying appropriate Machine Learning algorithms and tools and working and maintaining datasets using Teradata SQL or Microsoft SQL, and familiarity with AWS tools is an advantage;
* Familiarity or experience with the Basel regulatory standards and relevant APRA regulations regarding credit risk, or IFRS9 requirements for collective provisions is an advantage
At CBA we are dedicated to building a diverse, inclusive and authentic workplace. So, if you\'re excited about this role but your past experience doesn\'t perfectly align with everything in this job advert, we encourage you to still apply.
If this sounds like you then apply today!
At CommBank, we advocate and facilitate a culture of inclusion and respect, celebrating all cultures, abilities, genders, expressions of gender and sexual orientation. Read more about our commitment to inclusion and diversity.
We believe in working for a place that works for you. We have many flexible working options within our team so talk to us about which arrangements would work best for you.
If you're already part of the Commonwealth Bank Group (including Bankwest), you\'ll need to apply through Sidekick to submit a valid application. We're keen to support you with the next step in your career.
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