Head - Wholesale Modelling - Advanced IRB Credit Risk Model - BFS

About the role

- 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

- Ensure that model builds/remediation activities are not overly conservative and that they help Client retain its competitiveness in the market and do not compromise the ability to service existing customers and attract new clients

- Ensure that model builds/remediation activities are completed in a timely manner so as to not adversely impact customer offerings

- Identify and initiate new solutions or approaches to improve Advanced IRB models

- Create a set of repeatable and production quality tools that allow the generation of Credit portfolio information in a timely manner for dissemination to key stakeholders

- Examine toolkit utilized by Group Retail Modelling and explore use in the Wholesale context, in particular, Model Builder and Model Central as tools that aid the model development and model monitoring processes

- Ensure team operates in a robust manner with a clearly articulated strategy, is well resourced, maintains adequate model documentation, documents key stakeholder feedback, has structured user engagement during model builds/remediation activities and that adequate controls exist during the entire model lifecycle.

- Ensure that model documentation is of high quality and meets or exceeds GMV and APRA standards

- Clear communication of quantitative concepts to support mandate & alignment of team to a 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 & efficient) both within the team under direct management and across the broader Global Risk team; establish clear expectations & encourage outperformance of the team as a whole & all its members; Be seen as a role model within and outside the immediate team.

- Help embed a great risk culture.

- 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

About You

- 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

- General knowledge of Client's internal governance framework and regulatory obligations

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

- Advanced degree in a numerate discipline (e.g. Statistics, Actuarial Studies, Mathematics, Physics, Engineering, Computational Finance) essential.

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