Credit Risk Model Risk Manager - Validation & Challenge

Macquarie Group; Sydney; Hybrid; AUD 140,000 - 190,000; Full time

Benefits offered by this job

Hybrid and flexible working

Employee assistance program

Wellbeing and health checks

Volunteer leave & donation matching

Job summary

Macquarie Group in Sydney seeks a Manager in Model Risk Management to lead independent validation and review of Credit Risk models across the Group. You will assess design, methodology, implementation and performance, providing independent challenge to developers and stakeholders across Risk, Finance, Data, Technology and business teams.

You will contribute to validation of models supporting regulatory capital, economic capital, PD, LGD, EAD, stress testing and IFRS9/AASB9, while leveraging

Qualifications

• 5+ years' experience in a quantitative, risk modelling or model validation role.
• Strong understanding of Credit Risk modelling concepts, including PD, LGD, EAD, stress testing and provisioning methodologies.
• Experience validating, developing or reviewing credit risk models within banking, financial services, consulting or related environment.
• Familiarity with prudential and regulatory requirements, including APS113, Basel standards and IFRS9/AASB9.
• Strong analytical, problem-solving and stakeholder management skills.
• Excellent communication skills, with the ability to provide clear and constructive challenge.
• Experience with statistical programming tools such as Python, SAS, R or SQL is advantageous.

Responsibilities

• Independently validate and review Credit Risk models across the Group, including models for regulatory and economic capital, PD, LGD, EAD and IFRS9/AASB9.
• Assess model design, methodology, implementation and performance against regulatory requirements and industry best practice.
• Provide independent challenge to model developers and stakeholders and liaise with Risk, Finance, Data, Technology and business teams.
• Support the Risk Management Group in its global coverage across multiple jurisdictions and portfolios.

Skills

Quantitative modelling

Model validation

Stakeholder management

Analytical skills

Python/SQL

Communication

Tools

Python

SAS

R

SQL

Job description

Macquarie Group in Sydney seeks a Manager in Model Risk Management to lead independent validation and review of Credit Risk models across the Group. You will assess design, methodology, implementation and performance, providing independent challenge to developers and stakeholders across Risk, Finance, Data, Technology and business teams.

You will contribute to validation of models supporting regulatory capital, economic capital, PD, LGD, EAD, stress testing and IFRS9/AASB9, while leveraging