Credit Risk Modelling Manager
Get set for your next great career move. How will I help?
In this opportunity you will manage modelling projects, building Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models for consumer/retail portfolios for regulatory capital (under Basel/APRA standards) and provisioning (IFRS 9 standards) purposes. You will ensure that all processes, procedures, and outcomes are appropriately documented and controlled. You will also:
What's in it for me?
- Handle and prepare large datasets (1mil rows and 100 variables) and various cleansing and quality checks
- Maintain models to a high standard to facilitate compliance with legislation, regulatory requirements, governance frameworks and policies
- Provide recommendations to internal stakeholders to assist them in achieving their credit risk objectives and portfolio optimisation
You will be a crucial part of the consumer and retail portfolios credit risk modelling teams giving you the opportunity to build your profile internally and externally with stakeholders and be part of the future of a business that has been around for 200 years and whose vision is becoming the world's best service company.
You'll be working for an organisation that supports development, internal career moves and flexible working. Along with competitive salary, you'll receive Westpac's generous benefits and a whole array of customer discounts. Being an integral part of the Westpac, you will constantly be challenging the status quo and deliver high quality customer outcomes. What do I need?
You will have a graduate degree in quantitative discipline (Mathematics, Statistics, physics or similar) with 5 years experience across risk model development. You will have advance experience in tools such as R/SAS/Python and database tools SQL. You will have strong attention to detail whilst having the ability to build relationships and work with a variety of stakeholders. Some further skills which will be advantageous are:
What is it like to work there?
- Knowledge of Basel regulatory frameworks
- Experience across a wide range of statistical concepts in the credit risk modelling space, including but not limited to Logistic Regression, Decision Trees and advanced Machine Learning techniques
- Experience building models in all IRB model categories (i.e. PD, LGD and EAD) across consumer portfolios from end to end
- Experience liaising with data/systems teams during model implementation and sign off
At the Westpac Group, we have a vision to be one of the world's great service companies - this means helping our people, customers and communities to prosper and grow. We aim to be leaders in diversity, flexibility and as an equal opportunity employer.
You will join one big, supportive team and working with us you'll discover new ways of working, and an exciting range of roles to showcase your skills. As an equal opportunity employer, we're proud to have created a culture where people can be their best, in an environment that values diversity and flexibility. And one where everyone belongs.