Manager, Portfolio and Stress Testing Models

Sydney

Responsibilities:

• Assist in the development and application of advanced analytical techniques, tools and models to enhance portfolio insights and risk management with a focus on portfolio concentration and diversification effects
• Design, maintain, enhance and document stress testing models
• Maintain, enhance and document the economic credit capital model
• Develop and maintain and consistent internal framework utilised for the consideration of portfolio level credit risk modelling in the institution
• Assist in driving alignment and convergence of methodologies pertaining to modelling of credit cycle effects and state-of-cycle dynamics for; IFRS9, stress testing and through-the-cycle risk estimate calibration
• Conduct annual reviews

Requirements:

• Excellent tertiary qualifications in an Applied Mathematical discipline i.e. Physics, Statistics, Econometrics, Engineering etc.
• At least 5 years' experience in the financial services industry within the Credit Risk class
• Strong experience in credit risk modelling including the development of economic capital or portfolio level stress testing models
• Programming capabilities in; R, SAS, Python or equivalent

For further information about this position please contact Olivia on 0409 356 856 or simply click APPLY.

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