Roles & Responsibilities:
- Model Validation: Perform independent validation activities for models and quantitative tools developed for IRB, IFRS9 and stress testing. This includes internal models under APS 113 and models used for provisioning. Ensure the models follow sound mythologies and advanced statistical techniques including, but not limited to, various regression techniques, time series analysis and macroeconomic modelling, using Python, R, and SQL.
- Accountability: Support the presentation of outcomes to modelling forums and committees. Contribute to the broader validation strategy including clarity with respect to validation methodology, appropriate governance and applicable compliance requirements.
- Stakeholder Management: Effectively presenting the results of validation work and business implications to internal working groups, technical forums, governance committees or regulatory meetings. Proactively address and respond in a timely manner to developer, audit and regulatory queries and/or issues pertaining to models. Maintain sound relationship with development team BU risk teams and other stakeholders. Effective interactions with model stakeholders:
- Model development, owners, and monitors
- Chief Data and Analytics Office
- Line 2 risk teams, internal and external audit
- Documentation: Thoroughly documenting the validation report, and appropriately presenting the validation results, to enable stakeholders to understand the strength and weakness of the final model and assess its impact.
- Business Impact: Evaluating model implementation challenges, including assessment of the business impact of new or updated models on risk measures or processes.
Essential Skills:
- 3-5 years credit risk model validation or development experience.
- Demonstrated experience in end-to-end delivery of projects.
- Programming skills in SAS, R, Python and SQL
- Experience with the Basel regulatory standards and relevant APRA regulations regarding credit risk is essential.
- Experience with IFRS9 and stress testing is advantageous.
- Demonstrated skills in written and verbal communication, including ability to interpret and report complex material and make sound recommendations to a range of stakeholders.