Senior Manager Modelling and Analytics

2 weeks ago


Park Road, Singapore Commonwealth Bank Full time

Role:
Senior Manager Modelling and Analytics

Years of experience: 10-14 years

Location:
Bangalore-Manyata Tech Park (hybrid)

At CommBank, we never lose sight of the role we play in other people's financial wellbeing. Our focus is to help people and businesses move forward to progress. To make the right financial decisions and achieve their dreams, targets and aspirations.

Regardless of where you work within our organization, your initiative, talent, ideas and energy all contribute to the impact that we can make with our work.

Together we can achieve great things.

Your team**:

Model Risk Validation provide assurance and oversight of models across the group.

The team lead and conduct model validation of the Group's models, based on internal policy and procedures, regulatory guidance, and the industry's best practices.

It provides true line 2 assurance and challenge for all models within the CBA group.

The team also influence the technology, data and validation strategies through active engagement with BU's and executive level stakeholders across the group.


Your impact
& contribution:


You will be part of a skilled quantitative team, based in CBA India office in Bangalore, serving all lending businesses across the CBA Group, and will have responsibility to directly manage Analyst, Senior Analyst and Manager resources and lead new initiatives contributing to the validation, maintenance and enhancement of key credit risk models.

You will also contribute to strategic initiatives aligned to enhancing modelling frameworks and improving the agility and efficiency of model validation activities.


Your reporting
lines:

You will report direct to the Executive Manager of Model Validation, Model Risk &Validation.


Your team interfaces on a day-to-day basis with other teams that have involvement in the credit modelling lifecycle across the Group, including the model development unit and business unit Risk teams that conduct model monitoring and fit-for-purpose validations, as well as develop their own models covering provisioning, stress testing and scorecards.


Your responsibilities:

-
Model Validation:Lead multiple independent validation activities for models and quantitative tools developed for IRB, IFRS9 and stress testing. This includes internal models under APS 113 and models used for provisioning. Ensure the models follow sound methodologies and advanced statistical techniques including, but not limited to, various regression techniques, time series analysis and macroeconomic modelling, using SAS, Python, R, and SQL.
-
Accountability:Manage a quantitative team of 4-5 members, and mentor junior team members. Represent Model Risk Validation team at project advisory groups and coordinate with other leaders in the model risk validation team. Maintain the Group Model Register. Define the broader validation strategy including clarity with respect to validation methodology, appropriate governance and model risk policy compliance.
-
Stakeholder Management:Effectively presenting the results of validation work and business implications to internal working groups, technical forums, governance committees or regulatory meetings. Proactively address and respond in a timely manner to developer, audit and regulatory queries and/or issues pertaining to models. Maintain sound relationship with development team BU risk teams and other stakeholders.
-
Documentation: 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;
-
Business Impact:Evaluating model implementation challenges, including assessment of the business impact of new or updated models on risk measures or processes. Review the Fit-for-purpose validation.

Your skills
& experience:

  • 10+ years credit risk model validation or development experience.
  • Demonstrated experience leading projects and managing a quantitative model validation/development team; and solid time management and prioritization skills.
  • Programming skills in R, Python and SQL;
  • Demonstrated thoughtleadership to enhance validation frameworks and improving the agility and efficiency of model validation activities;
  • Experience with the Basel regulatory standards and or relevant APRA regulations regarding credit risk is essential;
  • Experience with IFRS9 and stress testing is advantageous;
  • Experience in project management tools like Jira will be a significant advantage.
  • Demonstrated skills in written and verbal communication, including ability to interpret and report complex material and make sound recommendations to a range of stakeholders;
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