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JD - Credit Model Validations

This role is a senior analyst/manager position within the Credit Risk division of Macquarie's Risk Management Group. The individual will be responsible for quantitatively validating credit risk models, including PD, LGD, and EAD models, through data analysis and reporting. Key responsibilities include monitoring models, understanding credit risk drivers and data sources, assisting with analytical model development, and documenting analysis. The ideal candidate has 7+ years of experience in credit risk analysis, strong quantitative and problem solving skills, and experience working with large datasets and modeling techniques.

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207 views2 pages

JD - Credit Model Validations

This role is a senior analyst/manager position within the Credit Risk division of Macquarie's Risk Management Group. The individual will be responsible for quantitatively validating credit risk models, including PD, LGD, and EAD models, through data analysis and reporting. Key responsibilities include monitoring models, understanding credit risk drivers and data sources, assisting with analytical model development, and documenting analysis. The ideal candidate has 7+ years of experience in credit risk analysis, strong quantitative and problem solving skills, and experience working with large datasets and modeling techniques.

Uploaded by

sumit sinha
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Manager - Credit Model Validations

About the role

The Risk Management Group is an independent, centralised unit responsible for assessing and
monitoring risks across Macquarie. This includes market and liquidity risk, credit risk,
compliance risk and operational risk. Risk Management Group personnel liaise closely with all
operating areas to ensure risks are understood and properly managed.

RMG Credit assesses the credit risk on lending and trading transactions. It allocates credit limits
for counterparties and countries, develops procedures for measuring credit exposures and
reviews the adequacy of legal documentation. 

This position is a Senior Analyst/Manager level role within the Credit Risk division that is
responsible for the quantitative model validation of credit models, including IFRS 9 and
prudential models. The candidate will be required to use analytical tools to automate and/or draw
insights from credit models (PD, LGD and EAD) throughout the process of ongoing validation.
It requires an individual with a strong analytical approach who is comfortable challenging
current practices and procedures to identify opportunities for improvement.

Key responsibilities will include:

 Monitoring and validation of Credit Models (PD, LGD and EAD)


 Gain and maintain a full understanding of Macquarie businesses, data sources and data
structures to support analysis and reporting in a model validations function
 Understanding sector wise data and analytical requirements including key risk drivers
across the credit portfolio
 Assisting with defining, selecting or developing appropriate analytical and statistical
models for ongoing monitoring and validation
 Improve, develop and automate current data and reporting process across model
monitoring and validation exercises
 Strong planning and stakeholders engagement skills to ensure timely research, review and
analysis of data/models and publish associated reports
 Documentation of testing and analysis, findings and recommendations

About You:

The candidate should have experience working with large datasets, having a strong analytical,
statistical and quantitative background. A deep understanding of data manipulation and
modelling techniques as well as risk strategy design, testing and implementation is desirable.

We want to hear from you if you have:


 Minimum Bachelor's degree qualification in a quantitative and problem solving discipline
with strong academic performance
 7+ years’ experience within an analytical credit risk function.
 An understanding of credit risk models 
 Solid analytical, statistical, and quantitative problem-solving background
 Strong knowledge of Microsoft Office, SQL, Alteryx and Tableau.
 R experience is desirable but not mandatory.
 Ability to work efficiently and effectively with senior stakeholders globally
 Excellent written and verbal communication skills, and the ability to effectively tailor
communications to a diverse range of business and technical stakeholder groups
 High attention to detail
 Availability to work flexible hours to cater for interactions with stakeholders in different
time zones

  

About us

Risk Management Group is an independent, centralised unit responsible for ensuring all risk
across Macquarie are appropriately assessed and managed. Its divisions include Credit,
Prudential, Capital and Markets, Market Risk, Operational Risk, Compliance, Quantitative
Applications and Internal Audit.

Macquarie is a global provider of banking, financial, advisory, investment and funds


management services, with offices in 28 countries. We are a uniquely diverse business with deep
specialist expertise.

Key to Macquarie's success is a unique structure and management style that fosters an
entrepreneurial environment that is underpinned by a strong risk management framework, an
approach that has contributed to its long history of success. This philosophy encourages a sense
of ownership and entrepreneurial endeavour among our people and delivered value for clients.

Find out more about Macquarie at www.macquarie.com/careers

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