Quantitative Analyst

3 weeks ago

Sydney, Australia Commonwealth Bank Full time

Quantitative Analyst

Do what matters:
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.

See yourself in the team:
Reporting directly to the Executive Manager of Credit Model Validation, Model Risk & Validation, you will be part of a skilled quantitative team serving all lending businesses across the CBA Group, and lead new initiatives contributing to the development, maintenance and enhancement of key credit risk models. You will also contribute to strategic initiatives aligned to enhancing modelling frameworks and improving the agility and efficiency of model development activities.

On a day to day basis you will be:
- Model Validation: perform independent validation activities for models and quantitative tools developed for IRB, IFRS9, credit scoring and stress testing. This includes internal models under APS 113 and models used for provisioning. Ensure the models follow sound mythologies and advanced statistical techniques including, but not limited to, various regression techniques, time series analysis and macroeconomic modelling, using R, Python, and SQL.- Accountability: Support the Executive Manager and/or Senior Manager to conduct the model validation. Perform model diagnostics and quantitative analysis to understand to soundness of the models.- Stakeholder Management: Effectively presenting the results of validation work and business implications to internal working groups. Proactively address and respond in a timely manner to developer and other internal stakeholders. Work effectively under the supervision of senior leaders.- Documentation: Thoroughly documenting the validation report, and appropriately challenging the modelling results and the thought process around the choice of modelling methodology, to enable stakeholders to understand the strength and weakness of the final model and assess its impact.- Business Impact: Evaluating model implementation challenges, including assessment of the business impact of new or updated models on risk measures or processes. Review the Fit-for-purpose validation.

We’re interested in hearing from you if you have:
- Industry modelling experience is preferred but not essential.- Tertiary qualifications, with distinct academic achievements, in a quantitative discipline such as mathematics, statistics, econometrics, actuarial science, engineering and data science.- Experience with the Basel regulatory standards, IFRS9 accounting standard and relevant APRA regulations regarding credit risk is advantageous.- Demonstrated skills in written and verbal communication, including ability to interpret and report complex material and make sound recommendations to a range of stakeholders.- Programming skills in R, Python and SQL, and manipulation of large and complex datasets.

Your Impact & Contribution:
You will be part of a skilled quantitative team serving all lending businesses across the CBA Group, and lead new initiatives contributing to the development, maintenance and enhancement of key credit risk models. You will also contribute to strategic initiatives aligned to enhancing modelling frameworks and improving the agility and efficiency of model development activities.-Sidekick
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