Manager, Credit Risk Factor Model Performance Monitoring
The Commonwealth Bank brand is the most recognised brand in the Australian financial services industry.
The Team
Credit Risk Factor Model Performance Monitoring supports Retail Banking Services (RBS) Risk Management through the implementation and monitoring of appropriate models for use in both economic and regulatory capital reporting, for provisioning requirements and for business strategy.
The Role
In this position you will ensure the new models under development meet Group and Regulatory requirements andthat the appropriate performance monitoring mechanisms are set up to allow the required monitoring to occur in an effective timely manner.
Main Duties
- Ensure the appropriate documentation of model methodology, build, data and performance monitoring meet both Group and regulatory requirements.
- Work collaboratively with Group Risk and the business areas to develop / re-develop the appropriate model for the required retail product (PD, LGD, EAD), for use by Risk, Finance and Product (as required).
- Annual validation and six monthly monitoring of models to ensure that the impacts of the new models are in line with its intended business use and provide insight which can be shared with both Portfolio and Product management.
- Develop the appropriate management information that articulates the impacts of implementing the new models.
Experience Required
- Credit risk management experience.
- Knowledge of SAS, SQL or equivalent statistical tools.
- Tertiary qualification in a quantitative discipline (e.g. Mathematics, Statistics etc).
- Strong report writing presentation skills.
Advertised:
29 Jul 2013 Aus. Eastern Standard Time
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