Risk Management is responsible for developing and deploying the risk frameworks to allow the Group to take conscious exposures to credit, market, operational, compliance and insurance risks within a Board-approved appetite
Job Summary
Risk Management is responsible for developing and deploying the risk frameworks to allow the Group to take conscious exposures to credit, market, operational, compliance and insurance risks within a Board-approved appetite.
The team develops estimates for Probability of Default, Loss Given Default and Exposure at Default for credit portfolios, including retail and non-retail.
At CBA we are dedicated to building a diverse, inclusive and authentic workplace.
Matching Summary
Risk Management is responsible for developing and deploying the risk frameworks to allow the Group to take conscious exposures to credit, market, operational, compliance and insurance risks within a Board-approved appetite.
Skills & Requirements
Must-have
Develop and enhance non-retail credit risk models
Statistical and econometric techniques
R and Python for modelling
Generate insights for credit portfolios
Document modelling results and methodology
Work with AWS, Teradata SQL
Nice-to-have
Collaborative and entrepreneurial work-style
Interpret, report and present complex material
Mentor and coach analysts
Familiarity with Basel regulatory standards
Familiarity with APRA regulations
Familiarity with IFRS9 requirements
Key Requirements
Proficiency in quantitative statistical modelling
Experience in developing credit risk models (PD, LGD, EAD)
Experience in modelling using R or Python
Experience with GitHub
Experience with Teradata SQL or Microsoft SQL
Familiarity with AWS tools is an advantage
Familiarity with Basel, APRA, or IFRS9 regulations is an advantage