Head - Wholesale/Enterprise Risk Model Development - BFSI

Role Title : Enterprise Risk and Wholesale Model Development (Leadership role)

Role Purpose :

To manage end to end delivery (inclusive of models, methodology and implementation) of Wholesale Credit Risk models (PD, LGD, EAD)

Financial :

- Support Chief Wholesale Credit Officer, Head of ERWM, Head of Risk Modelling through independent oversight of the development of Advanced IRB Credit Risk models (PD, LGD, EAD)

- Ensure that the relevant Business Units and Credit Executives are well informed about modelling choices including the choice of risk drivers, associated weights, calibration levels and RWA/CP impacts as a result of any model change initiatives

- Engage key Business Unit and Credit Risk stakeholders through the model lifecycle in an effective manner so that model performance issues are clearly understood

People:

- Clear Communication of quantitative concepts to support mandate and alignment of team to common objective

- Continuous skill development

- Maintaining current and detailed knowledge of relevant technical literature as relates to advanced IRB Modelling (PD,LGD,EAD) and emerging areas such as statistical machine learning

- Establish a good working culture ( open, collaborative and efficient ) both within the team under direct management and across the broader Global Risk team, establish clear expectations and encourage out performance of the team as a whole and all its members. Be seen as a role model within and outside the immediate team.

Risk/compliance/behaviours:

- Ensure compliance with APS113 APRA Regulatory Standard by designing and implementing appropriate rating models

- Liaise with regulators to update project progress with respect to Advanced IRB model builds

Essential Skills :

Detailed understanding of Banking regulations and experience of positive regulators engagements

Comprehensive knowledge of Advanced IRB models in the Wholesale space including approaches for PD, LGD and EAD

Demonstrated leadership ability, commitment and contribution to building highly motivated team

Advanced degree in a numerate discipline ( eg. Statistics, Actuarial studies, Mathematics, Physics, engineering, computational finance ) essential.

Ability to build and maintain relationships with internal and external stakeholders and influence/negotiate change.