The Commonwealth Bank brand is the most recognised brand in the Australian financial services industry. At CommBank, we never lose sight of the role that we play in other people’s financial wellbeing. Our focus is to help people and businesses move forward, to make the right financial decisions and to achieve their dreams, targets and aspirations.

Risk Management is responsible for managing the Group’s overall risk portfolio, including credit, market, operational, compliance and insurance risk.
Risk & Value Measurement is a team within Risk Management that is responsible for developing models and performing advanced analytics across the Group to provide key risk and business insights. The estimates that the team develops include long-run estimates of Probabilities of Default, Loss Given Default and Exposure at Default for credit portfolios, including retail and non-retail. These estimates are used across all CBA lending business units, including ASB and Bankwest. The team also develops regulatory and economic capital estimates for operational risk across the Group.

The primary purpose of this role:
You will be directly involved in the development and maintenance of key credit risk models and in conducting analyses to derive insights on the portfolios across the bank. More specifically your main duties will include:

  • Generating insights on CBA’s credit portfolios, by building statistical models and performing analyses with sound application of advanced statistical and econometric techniques including Time Series Analysis, Macroeconomic Modelling, Non-linear Regression, using SAS and R;
  • Contributing to economic credit capital modelling and operational risk capital modelling
  • Assessing the business impact of the models including changes to the Expected Loss, capital and Risk Weighted Assets as a result of model improvements or refreshes;
  • Thoroughly documenting the modelling results and the thought process around the choice of modelling methodology to enable stakeholders to independently validate the final model;
  • Working with Group Data Warehouse (GDW) and other data sources to source and prepare data for modelling purposes as required; this will involve working with SAS, Teradata SQL, or other related tools; and
  • Interacting with stakeholders within BUs and group model validation teams to seek input and share results on model development efforts as needed.

We are seeking a motivated individual with:

  • A solid foundation in applying advanced mathematical and statistical techniques and familiarity/experience with relevant tools such as SAS and R, conducting modelling, data manipulation and data visualisation;
  • Demonstrated skills in written and verbal communication;
  • Diligent and entrepreneurial work-style delivering error-free output using innovative techniques;
  • Experience in working and maintaining datasets using Teradata SQL or Microsoft SQL is an advantage;
  • Understanding of the Basel II/III regulatory standards and relevant APRA regulations regarding credit risk is an advantage;
  • Tertiary qualifications in a quantitative discipline such as mathematics, statistics, econometrics, actuarial science, finance, engineering, data science or any other related discipline.

We offer you the opportunity to expand your career surrounded by a skilled and successful group of individuals. Our remuneration packages are highly competitive and you will have access to a range of exclusive and exciting benefits.

The people, businesses and communities we serve are wonderfully diverse. To reflect this, we’re committed to hiring a similarly diverse workforce. With a focus on inclusion, accessibility and flexibility, we’ll support you at every stage of your career.

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