Manager - Credit Model Validation

Organization: At CommBank, we never lose sight of the role we play in other people’s financial wellbeing. Our focus is to help people and businesses move forward to progress. To make the right financial decisions and achieve their dreams, targets and aspirations. Regardless of where you work within our organization, your initiative, talent, ideas and energy all contribute to the impact that we can make with our work. Together we can achieve great things.

Job Title: Manager - Credit Model Validation

Location: Bengaluru - Manyata Tech Park

Business & Team: Model Risk Validation provide assurance and oversight of models across the group.  The team lead and conduct model validation of the Group’s models, based on internal policy and procedures, regulatory guidance, and the industry’s best practices. It provides true line 2 assurance and challenge for all models within the CBA group. The team also influence the technology, data and validation strategies through active engagement with BU’s and executive level stakeholders across the group.

Impact & contribution: You will be part of a skilled quantitative team, based in CBA India office in Bangalore, serving all lending businesses across the CBA Group, and will have responsibility to directly manage Analyst, Senior Analyst and Manager resources and lead new initiatives contributing to the validation, maintenance and enhancement of key credit risk models. You will also contribute to strategic initiatives aligned to enhancing modelling frameworks and improving the agility and efficiency of model validation activities.

Roles & Responsibilities:

• Model Validation: Perform multiple independent validation activities for models and quantitative tools developed for IRB, IFRS9 and stress testing. This includes internal models under APS 113 and models used for provisioning. Ensure the models follow sound mythologies and advanced statistical techniques including, but not limited to, various regression techniques, time series analysis and macroeconomic modelling, using Python, R, and SQL.
• Accountability: Individual contributor role and mentor junior team members. Represent Model Risk Assurance team at project advisory groups and coordinate within the model risk assurance team. Help define the broader validation strategy including clarity with respect to validation methodology, appropriate governance and model risk policy compliance.
• Stakeholder Management: Effectively presenting the results of validation work and business implications to internal working groups, technical forums, governance committees or regulatory meetings.  Proactively address and respond in a timely manner to developer, audit and regulatory queries and/or issues pertaining to models. Maintain sound relationship with development team BU risk teams and other stakeholders.
• Documentation: Thoroughly documenting the validation report, and appropriately challenging the modelling results and the thought process around the choice of modelling methodology, to enable stakeholders to understand the strength and weakness of the final model and assess its impact.
• Business Impact: Evaluating model implementation challenges, including assessment of the business impact of new or updated models on risk measures or processes. Review the Fit-for-purpose validation.

Essential skills:

• 7-12 years of credit risk model development or validation experience.
• Demonstrated experience in end-to-end delivery of projects; sound communication and time management skills.
• Programming skills in SAS, R, Python and SQL agility and efficiency of model validation activities.
• Experience with the Basel regulatory standards and relevant APRA regulations regarding credit risk is essential.
• Experience with IFRS9 and stress testing is advantageous;
• Demonstrated skills in written and verbal communication, including ability to interpret and report complex material and make sound recommendations to a range of stakeholders.

Education Qualifications: Bachelor’s degree/Master’s degree/Ph.D. in Data Science, Machine Learning, Computer Science, Computational Linguistics, Statistics, Mathematics, Physics.

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