Senior Data Scientist - Stress Testing Models

Commonwealth BankSydneyHybridFull-time1 week ago

Senior Data Scientist role at CommBank in Sydney focused on developing and enhancing credit risk stress-testing models across retail and non-retail portfolios. Requires strong quantitative statistical modelling experience, hands-on R and/or Python with SQL, and the ability to translate macroeconomic scenarios into credit risk impacts.

What you'll do

Lead the development and enhancement of credit risk stress-testing models used across the Group
Build statistical models and conduct advanced analysis using predictive modelling, non-linear regression, time-series analysis, panel-data methods and macroeconomic modelling
Translate macroeconomic and portfolio scenarios into credit risk impacts including PD, LGD, EAD and expected credit loss
Analyse model behaviour, sensitivities, limitations and key risk drivers
Work with large, complex and imperfect datasets applying sound judgement
Use R, Python and SQL alongside Teradata and AWS to prepare, transform and analyse data
Clearly articulate modelling methodologies, assumptions, limitations and conclusions
Partner with model users, independent model validation, business unit risk teams, Finance and Enterprise Services
Provide technical guidance and constructive review to other analysts
Explore responsible applications of AI to enhance analysis, model development, documentation and productivity

What you need

Must-have

RPythonSQLTeradataAWSPredictive modellingNon-linear regressionTime-series analysis

Soft skills

CommunicationProblem solvingCuriosityJudgementStakeholder influenceMentoring

Data ScienceCredit RiskStress TestingFinancial ServicesQuantitative ModellingSenior

/What you'll do

/What you need

Must-have

Soft skills

What you'll do

What you need