Risk Modelling Development Specialist

ANZ

6 - 11 years

8 - 13 Lacs

bengaluru

Posted:-1 days ago| Platform:

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Skills Required

manager internal audit operations research external audit analytical machine learning econometrics macros monitoring sql python

Work Mode

Work from Office

Job Type

Full Time

Job Description

Managing and delivering modelling assignments in an autonomous manner from low to high degree of complexity according to the ANZ standards and in line with regulations applying to the various geographies of ANZ.

Managing, engaging, and influencing stakeholders as well as maintaining a good relationship with Internal Model Validation and Model Monitoring. Acting as a thought leader and trusted advisor for all stakeholders due to subject matter expertise and proven ability to deliver value-add services.
Supporting her/his Senior Manager in investigating new modelling techniques and required data and investigating/researching the application of latest data science
developments and machine learning techniques to wholesale credit modelling. Driving change and research of new advanced modelling techniques., especially the application of latest data science developments and machine learning techniques to wholesale credit modelling.
Presenting results in meetings and discussing results with stakeholders including model users, internal model validation, internal audit, external audit, and the broader credit modelling team, i.e., retail modelling, wholesale modelling and stress test modelling.
Becoming a subject matter expert in the development of wholesale credit models in the cloud.
Contributing to modelling team code libraries/packages on ANZ GitHub.
Delivering high quality documentation.

What will you bring

To grow and be successful in this role, you will ideally bring the following:

Must have knowledge, skills, and experiences:

Experience with analytical packages (R, Python, SQL, Spark, Hadoop). Experience with Google Cloud (Big Query, DBT, DBT Macros). Experience with ANZ GitHub, CDSW, EBD and Hive.
Knowledge of machine learning techniques such as XGBoost, Convolutional Neural Networks, or similar.
6+ years experience with (retail or wholesale) credit risk modelling (Basel A-IRB PD, LGD and EAD models) and a good understanding of credit metrics.
Understanding of finance and the commercial environment in which credit models are used.
Proven abilities to communicate complex subject matter with senior executives in formal and informal situations.
Strong analytical, numerical, research and problem-solving skills. Attention to details.
Excellent written and verbal communication.
Ability to plan and prioritize to deliver the best outcomes.

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