Quantitative Analyst
vor 3 Wochen
You are an enthusiastic individual with willingness to develop capability in Model Validation.
We are a team of values-driven Risk Management professionals, striving to improve CBA's overall risk posture.
Together we can lead the delivery of world-class data, analytics and risk management capabilities to ensure CBA is primed for success.
See yourself in our team As part of the Model Risk Validation (MRV) team we provide assurance and oversight of models across the group.
We lead and conduct validation of the Group's models, based on internal policy and procedures, regulatory guidance, and the industry's best practices.
We also influence the technology, data and validation strategies through active engagement with Business Units (BU's) and executive level stakeholders across the group.
In this role You will be participating in multiple independent validation activities for models and quantitative tools developed for traded market risk and pricing where the models are used for regulatory capital calculations (APS 116); end-of-day pricing (APS 111 Fair Valuation); measuring limits against the Group risk appetite; and for stress testing.
You will be 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.
Other responsibilities will include:
Contributing to Model Risk Validation team at project advisory groups and coordinate with colleagues in the MRV team.
Maintaining the Group Model Register for traded market risk and pricing models.
Contributing to the broader validation strategy including clarity with respect to validation methodology, appropriate governance and model risk policy compliance.
Effectively contributing to the presentation of the results of validation work and business implications to internal working groups, technical forums, governance committees or regulatory meetings.
Proactively addressing and responding in a timely manner to developer, audit and regulatory queries and/or issues pertaining to models.
Maintaining sound relationship with development team BU risk teams and other stakeholders.
Evaluating model implementation challenges, including assessment of the business impact of new or updated models on risk measures or processes.
Reviewing the Fit-for-purpose validation.
We are interested in hearing from people who have: Please note that we are interested in hearing from people who might not meet all the following criteria.
We're open to working with the right candidate to fill any skill gaps during your journey at CommBank. Exposure to model risk governance.
Experience of model valuation for traded market risk and pricing models.
Advanced numerical, mathematical, statistical, derivative pricing and programming skills gained either via tertiary education or experience with model validation work.
Willingness to work with internal stakeholders across Business Units, Risk, Technology and Audit.
Contributed to report writing e.g.
for committees and to support letters to the regulator.
Working with us We support our people with at least half your time each month connecting in the Sydney office, allowing for flexibility in the remaining time.
We have many other flexible working options available including changing start and finish times.
Talk to us about how these arrangements might work for you.
If this sounds like you, please apply now
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