Manager, Credit Risk Analytics
The Team
The Portfolio Analytics and Reporting team within Risk Management is responsible for enterprise (Group) level reporting for Risk Management, validation of key risk models/rating tools, setting the methodology for economic and regulatory capital management, risk data quality and integrity management and setting requirements for the risk systems used by Risk Management. The Quantitative Analytics team provides quantitative risk management solutions to the business in the areas of credit risk, operational risk, stress testing and economic capital.
A key accountability of team is the creation and maintenance of a structured and disciplined approach to establishing and maintaining the overall framework and direction for the modelling activities to achieve Bank and Basel II /APRA standards and requirements, including the development, ongoing enhancement and maintenance of sophisticated, effectively controlled and validated statistical models.
The Opportunity
Reporting to the Head of Risk Modelling, you will undertake all aspects of the development and refinement of Credit Risk Factors / Basel-related models used to measure risk and optimise return of a broad arrange of commercial and retail products, as well as calculating regulatory and economic capital, and applying statistical thinking to new business domains.
What will help you succeed?
- Previous experience in econometrics, risk management or financial services;
- An academic background in mathematics/statistics/econometrics/finance or similar, with a post graduate qualification in a relevant discipline;
- An understanding of quantitative model development (data modelling capabilities);
- Applied programming skills (Eg. Fortran, VBA, C++, MatLab, SQL, R, SAS).
Advertised:
13 Sep 2013 Aus. Eastern Standard Time
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