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Senior credit risk modeller

Sydney
BeathChapman Pte Ltd
Model Maker
Posted: 6 October
Offer description

Role Purpose
A new team is being created in the centralized Risk Analytics Business Unit, to support the Credit Risk Modelling for a Tier-1 Consumer Bank and all its affiliated brands.

Major Accountabilities / Responsibilities

- Working as a team, responsible for the assessment, development and/or recalibration of IRB credit risk models (PD, LGD, EAD) across the Group
- Develop the predictive models in the context of Basel III
- Navigate through various platforms, source and extract data for analysis and quality checks, to ensure data is suitable and robust for modelling purposes.
- Ensure that all modelling processes, decisions and outcomes are appropriately documented
- Effectively communicate and collaborate with the broader Basel III project and business stakeholders
- Back up the BAU team for their deliverables

Knowledge and Experience

- Minimum 3 years' experience in credit risk modelling
- SAS programming skills (experience in other statistical programming languages such as R and Python are also considered)
- Tertiary qualifications in quantitative discipline such as Mathematics, Statistics, Actuarial / Information Sciences or equivalent employment background
- Experience in handling large complex datasets, data manipulation and analysis
- A genuine driver and high achiever, with the initiative to outperform and deliver quality outcomes in a fluid environment
- Effective communicative and stakeholder management skills
- Experience and knowledge of relevant APRA standards (in particular APS 113, 220 and 112) would be advantageous

We are an equal opportunities employer and welcome applications from all qualified candidates.

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