Modelling and Analytics Analyst

Organization: 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 organisation, your initiative, talent, ideas, and energy all contribute to the impact that we can make with our work. Together we can achieve great things.

Job Title: Modelling and Analytics Analyst (Analyst - Credit Risk Analytics)
Location: Bengaluru - Manyata Tech Park

Business & Team: Risk Management is responsible for developing and deploying the risk frameworks to allow the Group to take conscious exposures to credit, market, operational, compliance and insurance risks within a Board-approved appetite.

Risk Management ensures that the Group has appropriate strategies and frameworks in place to assess, manage and report on credit, market, operational, compliance and insurance risks. We do this by:

• Establishing frameworks to manage risks that are consistent with the Group’s business objectives;
• Identifying, assessing and reporting risks to the Board, Risk and Audit Committees, Executive Committee and Business Units;
• Assessing the impact of proposed changes in laws, regulations and industry codes; and
• Working collaboratively with the Business Units to achieve the optimal risk and return outcomes for the Group within the risk appetite approved by the Board.

Model Development Centre of Excellence is a team within Risk Management that is responsible for developing models and performing advanced analytics across the Group to provide key risk and business insights. The team develops estimates for Probability of Default, Loss Given Default and Exposure at Default for credit portfolios, including retail and non-retail. These estimates are used across all CBA lending business units, including ASB and Bankwest.

Impact & Contribution: You will be part of a skilled quantitative team serving all lending businesses across the CBA Group, and lead new initiatives contributing to the development, maintenance and enhancement of key credit risk models that are used for calculating credit risk RWA and provisioning, as well as obligor creditworthiness. You may also contribute to strategic initiatives aligned to enhancing modelling frameworks and improving the agility and efficiency of model development activities. models across the CBA Group.

Roles & Responsibilities: Business Outcomes-

• Generating insights for CBA's credit portfolios, by building statistical models and performing analyses with sound application of advanced statistical and econometric techniques including, but not limited to, Time Series Analysis, Macroeconomic Modelling and Non-linear Regression, using R and Python;
• Actively contributing to projects to develop and enhance credit risk models, delivering outcomes with minimal supervision;
• Analysing the business impact of the models including changes to the Expected Loss, capital and Risk Weighted Assets as a result of model improvements or refreshes;
• Thoroughly documenting the modelling results and the thought process around the choice of modelling methodology in a concise and user-friendly form, to enable stakeholders to independently validate the final model and assess its impact;
• Working with the Group’s data resources, as well as key data-related projects, to obtain and prepare data for modelling purposes as required. This will involve working with SAS, Teradata SQL, or other related tools; and
• Interacting with stakeholders within business units and group model validation teams to seek input and share results on model development efforts as needed.

Essential Skills:

• 1-3 years relevant experience in Credit Risk Model Development;
• Demonstrated skills in written and verbal communication, including ability to interpret and report complex material and make sound recommendations to a range of stakeholders;
• Diligent, collaborative and entrepreneurial work-style delivering error-free output using innovative techniques and working with remote and on-site teams across the unit to drive improved risk analytics;
• Ability to work productively as part of a team on-site, remotely and in isolation as required;
• Experience in modelling using R or Python, and working and maintaining datasets using Teradata SQL or Microsoft SQL is an advantage;
• Sound time management and prioritisation;
• Apply knowledge of business and regulatory drivers when analysing model outcomes;
• Familiarity or experience with the Basel regulatory standards and relevant APRA regulations regarding credit risk, or IFRS9 requirements for collective provisions is an advantage;
• A solid foundation in applying advanced mathematical and statistical techniques and familiarity/experience with relevant tools such as R and Python, conducting modelling, data manipulation and data visualization;

Education Qualification: Bachelor's degree/Master’s degree/Ph.D. in Data Science, Machine Learning, Computer Science, Computational Linguistics, Statistics, Mathematics, Physics