Senior Quantitative Analyst

Location

Description

This role will assist multiple portfolios covering Basel, Stress Testing, Provisioning and Scorecard in the validation and maintenance of retail and wholesale credit risk models. The incumbent will be accountable for the delivery of modelling assignments and will be required to work in an autonomous environment, liaising with internal stakeholders, regulators and managing modelling projects. Ideally we are seeking candidates with strong statistical modelling skills, (logistical regression, maximum likelihood estimation, Bayesian, Jarrow-Turnball).

Key Accountabilities: Ensuring the scope of independent validation appropriately challenges a model's scope of application, methodology and implementation, data used and its documentation. Write clear and concise validation reports Effectively present validation reports to key stakeholders Ensuring the model register, model change and issues logs and other model risk management infrastructure are maintained To be considered for the position you must demonstrate the following requirements; At least 3 years of experience in quantitative analytics within a credit risk environment. We are happy to speak to candidates with experience across Basel A-IRB models (PD, LGD, EAD), Stress Testing, Provisioning or Scorecard experience.

Strong tertiary qualifications in applied mathematics such as quantitative finance, statistics, econometrics, engineering, physics or operations research. Strong statistical programming skills in either SAS, R or Matlab Project management and excellent communications skills For further information about this opportunity please contact Olivia on (02) 9270 2678. IMPORTANT: By submitting your email address and any other personal information when you APPLY to a job, you consent to such information being collected, held, used and disclosed in accordance with our COLLECTIONS NOTICE and PRIVACY POLICY.

http://www.bluefinresources.com.

au/privacy-policy.

Company
Bluefin Resources
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Posted

23 Oct 2019

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