- Leading Bank
- Contract plus extension
- Urgent requirement
Our client is seeking a Senior Quantitative Analyst to join their Model Risk Assurance team. The team is responsible for is the creation and maintenance of a structured and disciplined approach to the independent model validation function, including the tracking of action items arising from independent validation reports and the provision of expert opinion and advice in relation to the maintenance of IRB Minimum Standards reflecting Basel II /APRA standards and model requirements.
- Enhance Group Model Risk Policy, monitoring and validation standards and Group model register
- Provides management and measurement of models across the group
- Independent validation of the Group's credit risk models, including models for retail portfolios, non-retail portfolios and specialised lending segments;
- Development of quantitative techniques to assess model performance and provide validation of model outputs;
- Review and assessment of stress testing models developed across the Group, including models for retail and non-retail portfolios;
- Maintenance of the issues log and provision of timely feedback during the validation process;
- Completing the documentation of model validation outcomes, including end to end data integrity, model testing, appropriateness of the methodology and results;
- Entry of validation outcomes, new issues and the updating of existing issues in the Group Model Register;
- Contributing to the research and resolution of credit risk methodology issues and alternative approaches;
- Provide true line 2 assurance and challenge for all models within the Group.
- Previous experience in risk management, financial services or quantitative analysis;
- An ability to develop/review quantitative models based on internal and external data (data modelling capabilities);
- Applied programming skills (Eg. R, MatLab, SAS, E-views, RATS, LIMDEP);
- Satisfactory communication skills; and
- Business and technical writing capability.
- An academic background in mathematics, statistics, or econometrics, with a post graduate qualification in an applied quantitative modelling discipline.
- Completion of Group standard training (Productivity Fundamentals, Productivity for leaders etc.) - desirable only
Please submit CV in WORD format ONLY
Reference: 204 179