A Senior Manager Capital Measurement role has become available for an immediate start in the Group Risk team of one of Australia's leading Banks with an Asia-Pac focus.

You will become a key member of the Model Validation Leadership team with shared responsibilities for the model and capital validation frameworks, model risk measurement and reporting, best practice research, external relationships and strategic projects across all business units.

The Role:

Lead a small team focusing on governance over the Group’s Capital Measurement Framework and the validation of the broader Modelling and Provisioning Methodologies for Credit Risk across all portfolios, globally. The role will focus on transforming the clients modelling capability from building models for business decisions to building models that can also be used for accurate capital measurement.

The Candidate:

• Experience in working with the Regulators on technical issues
• Effective communication and business engagement skills at senior levels 
• Ability to lead a team with subject matter expertise
• Risk management and model building experience in Credit Risk, Operational Risk or Market Risk
• International/Asian risk management experience would be ideal
• Knowledge of EVT, Simulation Modelling, Time Series Analysis, Analysis of Survival data and Debt Pricing models
• Post Graduate qualifications in statistics, econometrics, mathematics or actuarial (PhD would be highly regarded)
• Basel 2 Expert. Thorough knowledge of the capital measurement framework and capital modelling techniques
• Significant experience in building credit risk models across a broad range of products in Wholesale and Retail business segments (10+ years)
• Exposure to econometric modelling and forecasting 
• Experience in Enterprise Risk Management
• Exposure to Stress Testing Methodologies
• Strong project management skills - ability to lead multiple projects/work on completing priorities

For more information you can contact Sandra at Bluefin Resources on (02) 9270 2655 quoting job reference BF2006109.