Analyst

2 weeks ago

Sydney, Australia Commonwealth Bank Full time

**You are **an experienced Analyst with an interest in Credit Risk

**We are **a team that takes pride in delivering value adding insights that helps CBA make informed decisions about its business.

**Together we can **lead the delivery of world-class risk management capabilities to ensure CBA is set up for success.

**See yourself in our team**:
Risk Management ensures the Group has appropriate strategies and robust frameworks in place to assess, manage and report on credit, market, operational, compliance and insurance risks.

**Do work that matters**:
You will be part of the Institutional Banking & Markets (IB&M) Risk Stress Test team which reports into the General Manager, IB&M Risk Management Chief Operating, IB&M Risk.

As a member of the IB&M Risk Stress Test team, you will be responsible for the design, execution and delivery of stress tests for the Group’s non-retail portfolios including Business Banking (BB) and IB&M. This includes the annual APRA and Group Internal Capital Adequacy Assessment Process (ICAAP) stress test, as well as the industry and portfolio level stress tests to address emerging credit risks.

You will also contribute to the design and enhancement of the stress test models. This will involve working with stakeholders across the business, risk management and model validators.

**On a day-to-day basis, you will**
- Provide credit risk impact assessment of the BB & IB&M non-retail portfolios under the defined stressed scenario.
- Assist the team in the compilation of APRA stress test templates and address queries from regulators.
- Deliver the Annual non-retail credit risk stress test plan, which is a key compliance control addressing regulatory obligations.
- Deliver the large exposures, industry and geographic credit risk stress tests as per the stress test plan to assess impact from emerging credit risks on portfolios of heightened concern.
- Run analysis and sensitivities as required to support industry or product analysis papers and meet domestic and international stress-testing regulatory obligations.
- Develop and maintain statistical and quantitative models for credit risk stress testing and to ensure model validation and monitoring.
- Engage business (Line 1) and risk (Line 2) teams to obtain expert judgement to improve modelled results.

**We are interested to hear from you if you have**:

- Knowledge of IFRS9, regulatory capital and macroeconomic modelling.
- Optimisation and automation mindset to help enhance stress test models capable of quickly delivering multi-dimensional stress test results per plan and ad-hoc requests.
- Strong technical skills in R, R-Shiny, SQL and other programming languages.
- Good communication and presentation skills.
- Knowledge of credit risk management, risk concepts/process, knowledge of an Institutional and Business Banking business and related product preferable.
- Tertiary qualifications in Econometrics, Mathematics, Statistics, Physics or similar Quantitative discipline.

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Advertising End Date: 27/09/2024

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