Senior Analyst - Credit Risk (Model Validation)

Experience Preferred to have 4+ years’ professional experience in quantitative risk management at a bank/Consulting A strong quantitative background is a prerequisite Key Accountabilities Ensuring the credit risk models (Credit IRB (PD, EAD & LGD) and Credit Decisioning and Credit Provisioning) remain fit for purpose. Supporting both the periodic validation of credit models in production and validation oversight of all new models and model changes. Completing model risk management activities around the ongoing management of models at NAB. Identification of business improvements in relation to models Provide model risk advisory role to the business and add value through your independent review of challenge of existing models. Provide advice for a variety of diverse tasks or problems based on the application of judgment in their area of expertise/responsibility. Capabilities, Experience & Qualification Requirements Demonstrate a sound understanding of model risk Experience in development or validation of statistical models either through academic or ‘on the job’ role. Strong computer literacy is essential, familiarity of Excel/SAS/SQL/R/Python Prior knowledge of quantitative credit: Default and loss modelling Awareness/familiarity with Basel II Accord. Financial and numerical literacy Show more Show less