Senior Quantitative Credit Risk Analyst - SQL, R & SAS
A leading Australian Bank is currently seeking 2 Senior Quantitative Analysts to take responsibility for monitoring credit risk models
Summary about this job
Analysis & Reporting
Company: Bluefin Resources Pty Limited
Location: Sydney
Work type: Full Time
Salary: n\a
Phone: +61-2-4421-8184
Fax: +61-7-4883-7744
E-mail: n\a
Site: n\a
Detail information about job Senior Quantitative Credit Risk Analyst - SQL, R & SAS. Terms and conditions vacancy
A leading Australian Bank is currently seeking 2 Senior Quantitative Analysts to take responsibility for monitoring the performance of credit risk models. As a Senior Quantitative Analyst you will assist in the development and implementation of analytical tools which help drive better model monitoring and stressed scenarios.
Accountabilities would include;
- Monitoring scorecards, PD, LGD & provisioning models and develop insights on model performance
- Build appropriate tools and develop data strategies to support model monitoring and scenario analysis
- Facilitate regular model monitoring forums and reviews of model monitoring outcomes
- Develop different scenarios for stress testing the portfolio
- Use innovation to develop new statistical tools which help optimise model monitoring and stress testing
- Ensure modelling data meets APRA’s data management framework
- Ensure recommendations are being made to address issues with model performance
To be considered for the role you will need;
- A tertiary qualification in a quantitative discipline; statistics, mathematics
- Strong understanding of statistical modelling techniques
- At least 3+ years commercial - ideally in credit risk, however other areas in finance will be considered
- An understanding of PD, LGD model development or validation is beneficial
- People coming from credit risk reporting or portfolio analytics backgrounds looking to get closer to the modelling process should apply
- Programming skills in either SQL, R or SAS
- Excellent communication skills
For more information please call Alex Slocombe on 02 9270 2602 or apply online.
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