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Quantitative Credit Risk Analyst

Macquarie Group Limited

Job Description

Create real change, unlock opportunities and take your career to the next level.

This is an immersive, fast-paced role, giving you the chance to collaborate with senior stakeholders across the group. Whether you are starting your Quantitative Analyst career or an experienced professional, this role will suit you if you are collaborative, technically strong and enjoy problem solving. This is a fantastic opportunity to grow your career in a high performing team where you will have the chance to learn by doing, progress your career and grow your skillset.

Our Banking & Financial Services group brings together Macquarie’s retail banking businesses and provides a diverse range of products and services. Our purpose in Macquarie, the reason we do what we do, is to empower people to innovate and invest for a better future.

As our Quantitative Credit Risk Modeller, you will sit within our Treasury function which is a part of wider Product & Technology Division. The Treasury team is comprised of Funding, Liquidity and Interest Rate Risk Management, Capital, Provisioning & Risk Modelling disciplines. Collaboration is what we do, this role will give you exposure to our product, prudential, credit, data teams and our central Risk Management and Financial Management Groups.

Our team also has responsibility for managing capital, developing analytics tools to calculate credit risk ratings and risk weighted assets, stress testing, scorecards, provisioning and other risk analytics as required.

This unique role involves supporting the team in the building of and implementation of credit risk models for capital (IRB) and provisioning (IFRS9) within Banking and Financial Services. You will be responsible for:

  • developing and contributing towards leading practice statistical and analytics credit models to calculate credit risk ratings, loss estimates, risk weighted assets, stress testing, provision models (IFRS9) and regulatory capital requirements across retail and SME wholesale products
  • fostering collaborative working relationships with key stakeholders
  • delivering high quality model documentation that satisfies Risk Management Group validation, auditors and or external regulators
  • assisting with project related work, either specific to capital and credit or as it affects risk within the wider business, some of which will be provided to the regulator.

You’ll be analytical, have a strong numerical flair and possess a financial or quantitative degree. Experience in model building and technical competency in R and SQL would also be advantageous.

In addition, you’ll bring:

  • 2 years’ experience with an advanced degree in a quantitative discipline (e.g., Mathematics/Statistics, Actuary, Engineering, Computer Science)
  • experience in credit risk modelling
  • drive, motivation and a learning mindset
  • highly numerate and analytical style and be comfortable working with predictive models
  • strong communication skills including the ability to document your methodology
  • ability to foster and build a collaborative working relationship with various stakeholders.

Finally, you will:  

  • be curious, always asking, “What’s new,” and “How can we do this better”
  • be bold, seeing challenges as opportunities that can be overcome as a team
  • have tertiary qualifications, in a quantitative degree
  • have good communication skills and the ability to explain your thinking
  • have the ability to influence peer stakeholders.

About Banking and Financial Services

Banking and Financial Services is Macquarie’s retail banking and financial services business, providing a diverse range of personal banking, wealth management, business banking and vehicle finance products and services to retail clients, advisers, brokers and business clients. 

Our commitment to Diversity and Inclusion 

Macquarie understands the importance of diversity and inclusion - our long history of success has come from being different. At Macquarie we value the innovation and creativity that diversity of thought brings. The one thing we all have in common is our focus on high performance. If you're capable, motivated and can deliver, we want you on our team. 

We recognise that flexibility comes in a variety of forms. Talk to us about what flexibility you need.