VP - Credit Risk Model Validation - BFS

About the role:

The role is focused on the Group's governance framework overall retail and wholesale credit risk models and related tools globally. Responsibilities include working on data and infrastructure and reviewing and providing opinion on new model developments, annual validation of existing models, production of regular analysis and reports to support model validation as well as optimisation of CMVI's internal tools and processes. Provide ongoing support to other Credit Model Validation and Insights (CMVI) Retail and Wholesale streams globally.

Deliver new model validation / annual validation of all retail credit risk models (AIRB, APP, BEH, ECL) used in the bank across geographies, businesses and products (This is a hands- on role and would constitute ~70 % of total work)

Provide statistical analysis and meaningful insights to support annual model validation output

About You:

1. Hands on experience of working on statistical and non-statistical credit risk models (AIRB, Application models, Behaviour models, ECL) in major banks or rating agencies (10+ years)

2. Basic skills in SAS (Base & Macro), R, SQL and office tools including MS Excel and Visual basic for application (VBA). Internal process and system knowledge of ANZ is highly desirable.

3. Post graduate qualifications in finance, statistics, engineering, mathematics or any other quantitative discipline with exposure to financial analysis and statistical techniques such as regression, time series analysis, discriminant analysis, principal components, conjoint analysis, segmentation, survival data analysis etc.

4. Ability to communicate & interact on a regular basis with customers and stakeholders across levels. Excellent written, oral and presentation skills and ability to articulate complex technical subjects to non-technical audience.

5. Knowledge of the Basel 2 regulatory framework and capital measurement approaches (incl. PD, LGD, EAD models).

6. Knowledge of stress testing, IFRS 9 would be added advantage

7. Knowledge of working on financial models, expert models across broad range of wholesale portfolios would be added advantage.