Senior Credit Risk Stress-Testing Modeler

Commonwealth Bank of Australia; Sydney; Vor Ort; AUD 140.000 - 180.000; Vollzeit

Zusammenfassung

Commonwealth Bank of Australia is seeking a Senior Data Scientist - Stress Testing Models to lead the development of credit risk stress-testing models across the Group. You will translate macroeconomic scenarios into PD, LGD and EAD impacts, providing insights to support enterprise stress testing and risk decisions.

You will work with R, Python, SQL, Teradata and AWS to prepare and analyse data, validate models, and communicate methodologies to diverse stakeholders.

Qualifikationen

• Strong experience in quantitative statistical modelling and data science for credit risk.
• Knowledge of PD, LGD, EAD and macroeconomic modelling is essential.
• Proficiency in R, Python and SQL with large data handling experience.

Aufgaben

• Lead development of credit risk stress-testing models across the Group.
• Translate macroeconomic scenarios into credit risk impacts (PD/LGD/EAD).
• Analyse model behaviour, limitations and key risk drivers for risk decisions.
• Collaborate with stakeholders across model validation, risk, Finance and IT.

Kenntnisse

Quantitative modelling

Data science

Econometrics

Credit risk analytics

R

Python

SQL

Teradata

AWS

IFRS 9

IRB

Macroeconomic modelling

Ausbildung

Tertiary qualification in Mathematics/Statistics/Econometrics/Data Science

Tools

R

Python

SQL

Teradata

AWS

Jobbeschreibung

Commonwealth Bank of Australia is seeking a Senior Data Scientist - Stress Testing Models to lead the development of credit risk stress-testing models across the Group. You will translate macroeconomic scenarios into PD, LGD and EAD impacts, providing insights to support enterprise stress testing and risk decisions.

You will work with R, Python, SQL, Teradata and AWS to prepare and analyse data, validate models, and communicate methodologies to diverse stakeholders.