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Manager - Model Risk

2 weeks ago

Sydney, New South Wales, Australia Reserve Bank of Australia Full time $120,000 - $180,000 per year


Responsibilities:
  • Lead independent validation and review of key models (e.g. market risk, credit risk, stress testing, economic forecasting, capital adequacy).
  • Develop and maintain the Model Risk Management Framework, policies, and procedures in line with relevant standards.
  • Provide second line challenge and oversight of model development, implementation, and performance monitoring.
  • Collaborate with model owners, developers, and internal audit to ensure effective model governance and lifecycle management.
  • Monitor regulatory developments (e.g. APS 117, FRTB, IFRS 9) and assess their impact on model risk practices.
  • Prepare and present model risk reports to senior management, risk committees, and the Board.
  • Support the development of model risk appetite and key risk indicators (KRIs).
  • Mentor staff and contribute to a culture of analytical excellence and continuous improvement.
Experience
  • 8+ years of experience in model risk, quantitative risk, or financial modelling within a financial institution or regulator.
  • Tertiary qualifications in a quantitative discipline (e.g. mathematics, statistics, finance, economics, actuarial science).
  • Strong understanding of model governance, validation techniques, and regulatory expectations.
  • Experience with financial risk models (e.g. VaR, stress testing, credit risk, IRRBB).
  • Excellent analytical, communication, and stakeholder engagement skills.
  • Familiarity with APRA Prudential Standards (e.g. APS 113, APS 117).
  • Experience with programming languages such as Python, R, or MATLAB.
  • Prior experience in a central bank or regulatory environment.
Your team

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Why RBA?

The Reserve Bank of Australia is committed to equity, diversity and inclusion through key initiatives. We welcome and encourage applicants from diverse backgrounds to apply, including Aboriginal and Torres Strait Islander peoples, culturally and linguistically diverse background, those living with a disability and from the LGBTQ+ community. We are committed to making the recruitment process fair and equitable for all our candidates.