Senior Data Scientist: Credit Risk & Stress Testing

Commonwealth Bank Of Australia; Melbourne; On-site; AUD 150,000 - 190,000; Full time

Job summary

Commonwealth Bank of Australia seeks a Senior Data Scientist – Stress Testing Models to lead the development of credit risk stress-testing capabilities. You will build and validate models across retail and non-retail portfolios, translate macroeconomic scenarios into PD/LGD/EAD impacts and support enterprise planning.

You will work with R, Python and SQL on large datasets, collaborate with Model Validation, Finance and business units, and advocate strong governance and responsible AI.

Qualifications

• Strong experience in quantitative statistical modelling and data science applied to credit risk.
• Proficiency with R or Python, SQL, and large datasets.
• Experience with PD, LGD, EAD models and IFRS 9/IRB approaches.

Responsibilities

• Lead development and enhancement of credit risk stress-testing models across the Group.
• Build advanced analyses using time-series, regression and macroeconomic modelling.
• Translate scenarios into credit risk impacts (PD/LGD/EAD) and ECL.
• Analyse model behaviour, limitations and key risk drivers for decision-making.
• Guide analysts, review work, and promote strong modelling standards.
• Apply responsible AI practices to analytics while ensuring governance.

Skills

Quantitative modelling

Data science

Econometrics

Credit risk analytics

R

Python

SQL

PD/LGD/EAD models

IFRS 9/IRB

Communication

Team leadership

Education

Quantitative degree (Math/Stats/Econometrics/Engineering/Data Science)

Tools

R

Python

SQL

Teradata

AWS

Job description

Commonwealth Bank of Australia seeks a Senior Data Scientist – Stress Testing Models to lead the development of credit risk stress-testing capabilities. You will build and validate models across retail and non-retail portfolios, translate macroeconomic scenarios into PD/LGD/EAD impacts and support enterprise planning.

You will work with R, Python and SQL on large datasets, collaborate with Model Validation, Finance and business units, and advocate strong governance and responsible AI.