Quantitative Risk Specialist

1 week ago

Sydney, New South Wales, Australia beBeeModelValidation Full time $150,000 - $180,000

Job Description:

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The Credit Risk Model Validation team is responsible for ensuring the accuracy and reliability of credit risk models used across the organization. This includes developing and deploying risk frameworks to allow the organization to take conscious exposures to credit, market, operational, compliance, and insurance risks within a Board-approved appetite.

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As part of this team, you will be performing independent validation activities for models and quantitative tools developed for IRB, IFRS9, and stress testing. This includes internal models under APS 113 and models used for provisioning.

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You will also be 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.

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Required Skills and Qualifications:

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We are looking for individuals with sound programming skills in R, Python, and SQL, as well as solid time management and prioritisation skills. Additionally, we require demonstrated skills in written and verbal communication, including the ability to interpret and report complex material and make sound recommendations to a range of stakeholders.

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Tertiary qualifications in a quantitative discipline such as mathematics, statistics, econometrics, actuarial science, engineering, or data science are essential.

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Benefits:

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We offer a flexible working arrangement that allows you to balance your work and personal life. You will have the opportunity to work with a high-performing team and contribute to delivering an exemplary experience for our stakeholders and the Group.

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We also have many other flexible working options available, including changing start and finish times, part-time arrangements, and job sharing.

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Other Responsibilities:

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Ensuring the models follow sound methodologies and advanced statistical techniques, including regression techniques, time series analysis, and macroeconomic modelling using Python, R, and SQL.

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Representing the Model Risk & Validation team at project advisory groups and coordinating with other leaders in the model risk & validation team.

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Effectively presenting the results of validation work and business implications to internal working groups and technical forums.

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Proactively addressing and responding in a timely manner to developer, audit, and regulatory queries and/or issues pertaining to models.

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Maintaining sound relationships with various stakeholders.

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Evaluating model implementation challenges, including assessment of the business impact of new or updated models on risk measures or processes.

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Maintaining the Group Model Register.

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