- Build IRB- PD, LGD & EAD models adhering to local/ global regulations
- Developments of IFRS 9 models along with decision models (application/ behavioural mods & collection segmentation)
- Engage with stakeholders on relevant activity such as Quantitative Impact Study
- Ensure efficient implementation and documentation of models
- Define critical data elements for Credit Risk ensuring appropriate data quality & monitoring
- Prepare for regulatory reviews
- Excellent tertiary qualifications in an applied mathematical discipline i.e. Engineering, Physics, Statistics, Actuarial etc.
- At least 5 years' experience in a Quantitative team within the Credit Risk class
- Strong exposure to the development of IRB- PD, LGD & EAD models
- Programming capabilities in; SAS, R, Python or equivalent
For further information about this position please contact Olivia on 0409 356 856 or simply click APPLY.