CommBank, we believe when people are free to move, anything is possible. Risk Management is responsible for developing and deploying the risk frameworks to allow the Group to take conscious exposures to credit, market, operational, compliance and insurance risks within a Board-approved appetite. Risk Management ensures that the Group has appropriate strategies and frameworks in place to assess, manage and report on credit, market, operational, compliance and insurance risks.
• Establishing frameworks to manage risks that are consistent with the Group's business objectives.
• Identifying, assessing and reporting risks to the Board, Risk and Audit Committees, Executive Committee and Business Units.
• Assessing the impact of proposed changes in laws, regulations and industry codes.
• Working collaboratively with the Business Units to achieve the optimal risk and return outcomes for the Group within the risk appetite approved by the Board.

See yourself in our team

This team is responsible for the validation of credit risk models, and assesses models' inputs, methodologies, outcomes and intended usage for Basel, IFRS, stress testing and various scorecards.

We are interested in hearing from people who have
• 3+ years in Credit risk (IRB, IFRS9) Model validation and development experience.
• Demonstrated experience in end-to-end delivery of projects; and sound communication and time management skills.
• Tertiary qualifications, with above average academic achievements, in a quantitative discipline such as mathematics, statistics and econometrics.

Roles and Responsibilities-
• Generating insights for CBA's credit portfolios, by building statistical models and performing analyses with sound application of advanced statistical and econometric techniques including, but not limited to, Time Series Analysis, Macroeconomic Modelling and Non-linear Regression, using R and Python;
• Actively contributing to projects to develop and enhance credit risk models, delivering outcomes with minimal supervision;
• Analysing the business impact of the models including changes to the Expected Loss, capital and Risk Weighted Assets as a result of model improvements or refreshes;
• Thoroughly documenting the modelling results and the thought process around the choice of modelling methodology in a concise and user-friendly form, to enable stakeholders to independently validate the final model and assess its impact;
• Working with the Group's data resources, as well as key data-related projects, to obtain and prepare data for modelling purposes as required. This will involve working with SAS, Teradata SQL, or other related tools; and
• Interacting with stakeholders within business units and group model validation teams to seek input and share results on model development efforts as needed
• Experience in modelling using R or Python, and working and maintaining datasets using Teradata SQL or Microsoft SQL is an advantage;
• Sound time management and prioritisation skills, and demonstrated ability to mentor/coach analyst's as required;
• Apply knowledge of business and regulatory drivers when analysing model outcomes;
• Familiarity or experience with the Basel regulatory standards and relevant APRA regulations regarding credit risk, or IFRS9 requirements for collective provisions is an advantag..
• Accountability: Lead small working groups of 2-3 members, and mentor junior team members. Represent Model Risk Assurance team at project advisory groups and coordinate within the model risk assurance team. Help define the broader validation strategy including clarity with respect to validation methodology, appropriate governance and model risk policy compliance.
• 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.
• Documentation: Thoroughly documenting the validation report, and appropriately challenging the modelling results and the thought process around the choice of modelling methodology, 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. Review the Fit-for-purpose validation

Advertising End Date: 26/02/2024