- Responsible for the assessment, development and/or recalibration of IRB credit risk models (PD, LGD, 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.
- Excellent tertiary qualifications in an applied mathematical field
- 3+ years' experience in credit risk modelling
- Proficiency in a programming language i.e. SAS, R, Python or equivalent
- Experience and knowledge of relevant APRA standards (in particular APS 113, 220 and 112) would be advantageous.
If you would like to learn more about this opportunity please contact Olivia on 0409 356 856 or simply click APPLY.