Credit Modeller - 6 month contract role

  • Competitive
  • Sydney, New South Wales, Australia
  • Permanent, Full time
  • Macquarie Group
  • 24 Sep 16

Credit Modeller - 6 month contract role

About the Role

Prudential, Capital & Markets (PCM) and Credit are independent risk management functions of the wider Macquarie Risk Management Group (RMG). We are currently undertaking a project to further develop and enhance our models used in credit loss provisioning for Macquarie's wholesale portfolio.

The role will be responsible for:

  • development and validation of macroeconomic-linked models for PD, LGD, and EAD through enhancing existing credit risk models and building new models
  • calibration of expected loss models for maximum accuracy across multiple, diverse wholesale portfolios
  • assisting in the development and maintenance of analytics tools to calculate credit risk ratings, loss estimates
  • maintaining stakeholder relationships across the business and the central risk management and finance groups

About you

In addition to your excellent written and verbal communication skills you will have exceptional attention to detail and the ability to multi task and be flexible in a fast paced environment. You ideally also have:
  • strong expertise in R, SAS, or other statistical software
  • degree in a quantitative discipline - statistics, mathematics, econometrics, or relevant post graduate study
  • strong problem solving abilities
  • understanding of various statistical learning techniques - linear regression, multivariate analysis, additive models, random forests
  • understanding of time series analysis - autoregression, decomposition, smoothing
  • interest in working in financial risk management

About Us

Macquarie's Risk Management Group (RMG) is an independent, centralised unit responsible for assessing and monitoring risks across Macquarie. Its divisions are Credit, Prudential Capital & Markets, Operational Risk, Internal Audit, Compliance, Quantitative Applications, Data Policy and Central.

*LI

Advertised: 19 Sep 2016 Aus. Eastern Standard Time
Applications close: