Senior Manager, Quantitative Modeller - Banking and Financial Services Group

Macquarie Group
17 Aug 2017
22 Aug 2017
Contract Type
Senior Manager, Quantitative Modeller - Capital Risk Modelling

Banking and Financial Services Group (BFS) comprises Macquarie's retail banking and financial services businesses, providing a diverse range of personal banking, wealth management and business banking products and services to retail customers, advisers, brokers and business clients.

BFS Credit is the independent risk management team of Banking & Financial Services Group. Within BFS Credit, the Capital & Risk Modelling team has responsibility for monitoring and modelling capital and the credit risk which resides on the Bank's balance sheet. The team works in collaboration with the sales, product and credit policy teams to optimise business opportunities within clearly understood and acceptable risk parameters. BFS Credit maintains close working ties with the Bank's central risk management group relating to the development of risk acceptance criteria and risk governance.

The Capital & Risk Modelling team have responsibility for managing capital, developing analytics tools to calculate credit risk ratings and risk weighted assets, stress testing, scorecards, provisioning and other risk analytics as required.

The role will be responsible for:
  • Developing and maintaining analytics tools to calculate credit risk ratings, loss estimates, risk weighted assets and capital requirements across retail and SME wholesale products
  • Delivering high quality model documentation that satisfies Risk Management Group validation, auditors and or external regulators
  • Adapting and building integrated stress testing technical models and frameworks for BFS products including mortgages, credit cards and small to medium enterprises
  • Involved in driving the periodic update of the stress testing, including presentation of results to senior stakeholders
  • Assisting with project related work, either specific to capital and credit or as it affects risk within the wider business, some of which will be provided to the regulator.
  • Maintaining relationships across the business and the central risk management group
  • Other duties as directed by manager.

  • Advanced degree in quantitative discipline: statistics, mathematics, or relevant professional qualification (eg: Actuary)
  • Minimum 6+ years experience
  • Previous experience in credit risk modelling for a Leading Australian or International Financial Institution or Professional Services firm.
  • Statistical modelling experience
  • Basel II, III and Australian Prudential Standards
  • Strong expertise in R preferred
  • Knowledge of regulatory capital models under the Basel Framework
  • Strong understanding of credit modelling and ratings process
  • Excellent written and verbal communication skills
  • Excellent attention to detail
  • The ability to work individually as well within a team environment
  • Ability to multi-task and be flexible
  • Proven ability to translate technical detail into terminology that non-technical teams can understand and use.

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Advertised: 25 Jul 2017 AUS Eastern Standard Time
Applications close: