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Form of workJoin a Tier 1 Institution as the business grows their Credit Risk Modelling - Basel III team overseeing a wide range of models including PD, LGD, and EAD models.
- Location: Sydney / Melbourne / Brisbane
- Contract End: Sept-2024
- Drive real change in this fast-paced role in this high performing team.
Role & Responsibility:
- Assess, develop and recalibrate IRB Credit Risk models (PD, LGD and EAD) in the context of Basel III
- Perform data sourcing, analysis and quality checks to ensure data is suitable and robust for modelling purposes.
- Ensure that all modelling processes, decisions and outcomes are appropriately documented.
- Effectively communicate and collaborate with the broader Basel III project and business stakeholders.
- Tertiary education in Economics, Statistics, Mathematics, Actuarial or Engineering
- 2+ years of experience within Credit Risk modelling (ex: IRB, IFRS9 and Stress Testing)
- Experience and knowledge of relevant APRA standards (in particular APS 113, 220 and 112) would be advantageous.
- Excellent technical skills in SAS, R, Python or similar
- Strong problem solving skills
- Excellent communication and presentation skills
