Senior Manager, Portfolio and Stress Testing Modelling

Sydney

Responsibilities:

• Support the Executive Manager, Non-retail and Portfolio Modelling and the Head of Risk Analytics in the development and application of advanced analytical techniques, tools and models to enhance portfolio insights and risk management particularly with regard to portfolio concentration and diversification effects
• Design, maintain, enhance and document stress testing models on behalf of the RA&I stress testing team
• Maintain, enhance and document the economic credit capital model
• Develop and maintain an internally consistent framework for the consideration of portfolio level credit risk modelling for the bank
• Work with other Senior managers and Executive Managers within Risk Analytics to drive alignment and convergence of methodologies
• Conduct annual reviews and oversee governance and approval of relevant model

Requirements:

• Excellent tertiary qualifications in an applied mathematical field i.e. Actuarial, Physics, Statistics or equivalent
• 7+ years' experience in Credit Risk modelling
• Experience in the development of economic capital or portfolio level stress testing models
• Programming abilities in; SAS, R, Python or equivalent
• Proven team leadership abilities

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

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