Data Scientist: Credit Risk Modeling & Stress Testing

Commonwealth Bank of Australia; Sydney; On-site; AUD 120,000 - 180,000; Full time

Job summary

Commonwealth Bank of Australia in Sydney is seeking a Data Scientist - Credit Risk Models to develop and enhance stress-testing models for retail and non-retail portfolios. You will apply advanced statistical techniques to understand portfolio vulnerabilities and explain what drives model outcomes to both technical and non-technical stakeholders.

Join the Model Development Chapter within Risk Management to work with large datasets, document methodologies, and partner across validation and risk

Qualifications

• Tertiary qualification in a quantitative discipline.
• Experience in quantitative modelling and data science.
• Strong foundations in predictive modelling.
• Proficient in R and Python; SQL experience.
• Ability to solve ambiguous analytical problems.
• Excellent written and verbal communication.

Responsibilities

• Develop and enhance credit risk stress-testing models using advanced statistical and quantitative techniques.
• Apply approaches including predictive modelling, regression, time-series analysis, panel-data methods and macroeconomic modelling.
• Translate economic and portfolio scenarios into measurable credit-risk impacts, including changes in PD, LGD, exposure and expected credit loss.
• Analyse model behaviour, sensitivities, limitations and key risk drivers to understand how portfolios may respond under different conditions.
• Work with large and complex datasets, including incomplete or imperfect data, and determine practical, well-governed approaches to analytical challenges.
• Use R, Python and SQL, alongside relevant data and cloud platforms, to prepare data, perform analysis and develop models.
• Translate technically complex modelling outcomes into clear insights that can be understood by both technical and non-technical stakeholders.
• Document methodologies, assumptions, limitations and modelling decisions clearly, supporting independent review and validation.
• Partner across the modelling lifecycle with model users, independent model validation and business risk teams.
• Explore thoughtful uses of AI and emerging tools to improve analysis, learning, documentation and productivity, while maintaining appropriate human judgement and accountability.

Skills

Quantitative modelling

Time-series analysis

Macroeconomic modelling

R or Python programming

SQL data analysis

Education

Bachelor's degree in Mathematics/Statistics/Econometrics/Data Science

Tools

R

Python

SQL

Job description

Commonwealth Bank of Australia in Sydney is seeking a Data Scientist - Credit Risk Models to develop and enhance stress-testing models for retail and non-retail portfolios. You will apply advanced statistical techniques to understand portfolio vulnerabilities and explain what drives model outcomes to both technical and non-technical stakeholders.

Join the Model Development Chapter within Risk Management to work with large datasets, document methodologies, and partner across validation and risk