Senior Credit Risk Modeller

Senior Credit Risk Modeller with BH-157861 | Ethos BC

Job Search Accounting, Audit & Finance

Senior Credit Risk Modeller

Location: Sydney
Salary: $120000 – $150000 per annum
Job Type: Permanent
Ref: BH-157861
Contact: Eugena Gong
Posted: almost 4 years ago

Role Purpose
A new team is being created in the centralised 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 & 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.

Only WORD FORMAT resumes will be accepted.

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