Quantitative Analyst

3 days ago

Sydney Central Business District, Australia Mane Consulting Full time

Contract
- Sydney CBD, New South Wales
- Posted 2 weeks ago
- package USD / Year
- Salary: package

Our industry-leading client is looking for a Quantitative Analyst. The Quantitative Analyst will be working on a major Credit Risk project in Stress Testing, Model Monitoring, Provisioning, and Scorecard validating and maintaining retail and wholesale credit risk models and other analytical solutions to support decision-making, impairment, capital calculations and stress testing across the group. The purpose of the role is to support and further develop the Bank’s Credit Risk Methodology framework. The focus will be on Credit Risk models/methodologies covering the rating framework, PD and LGD model requirements in the context of credit risk appetite and the credit impairment framework.

**Key Responsibilities**:

- Maintain and monitor the Bank’s suite of credit models
- Model monitoring and maintenance;
- Model change and usage management;
- Support the continuous development of a robust operating model to support the Credit Model framework from a BAU perspective;
- Support and develop the credit portfolio model framework
- Adopt and own credit model documentation and ensure it is fit for purpose, meets internal model development standards and external regulatory requirements and can be leveraged to support ongoing maintenance, enhancement and Model Validation review;
- Understand all internal and external credit model data in the context of credit model support and ongoing model development as part of model risk management;
- Understand the Regulator’s expectation in terms of model development and documentation, through a good knowledge of the current and forthcoming regulatory framework;
- Support ad-hoc credit analysis on specific transactions.
- Review back testing and stress testing programs
- Ensure on-going and periodic review, analysis and documentation of models and presenting these to Model Validation in line with the internal review schedule.
- Interact with Model Validation, Internal and External Auditors; ensuring them free access to all methodology material and providing clarity on model assumptions and limitations.

**Ideally you will have**:

- A degree (MSc / PhD) in Physics / Mathematics / Statistics / Finance
- Extensive knowledge of and experience in developing expert based or statistical credit risk models for financial institutions and corporate portfolios
- Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD), under BAU, credit impairment (IFRS9) and stress testing scenarios and credit economic capital
- Experience in some or all aspects of model development life-cycle including development (market data, data extraction, data transformation, modular model development), model approval, model implementation, model monitoring and maintenance
- Advanced knowledge of statistical methods, time series, regression data mining
- Excellent programming skills in SAS
- SQL skills an advantage

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