Data Scientist - Credit Risk Models

About the role

CommBank is recruiting a Data Scientist for its Credit Risk Models team within the Model Development chapter of Risk Management. The role sits in the Retail Models area, which builds models for Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) that support regulatory capital, provisioning and stress-testing. You will work on Retail and Non-Retail models, applying quantitative skills to complex credit portfolios and helping build stress-testing models and methodologies.

Key responsibilities

• Develop and enhance credit risk stress-testing models using advanced statistical and quantitative techniques.
• Use predictive modelling, regression, time-series analysis, panel-data methods and macroeconomic modelling to turn economic and portfolio scenarios into measurable credit-risk impacts (changes in PD, LGD, exposure and expected credit loss).
• Analyse model behaviour, sensitivities, limitations and key risk drivers.
• Work with large, complex datasets, including incomplete or imperfect data, and choose well-governed analytical approaches.
• Translate modelling outcomes into clear insights for technical and non-technical stakeholders.
• Document methodologies, assumptions, limitations and modelling decisions, and partner with model users, independent model validation and business risk teams.
• Explore uses of AI and emerging tools to improve analysis, learning, documentation and productivity.

Required profile

• Tertiary qualification in a quantitative discipline such as Mathematics, Statistics, Econometrics, Engineering or Data Science, with strong academic performance in quant-heavy modules.
• Experience in quantitative modelling, statistical modelling, data science, econometrics, actuarial science, credit risk analytics or another highly quantitative discipline.
• Strong foundations in statistical and predictive modelling, with exposure to regression, time-series analysis, macroeconomic modelling or machine learning.
• Ability to work through ambiguous problems, interrogate imperfect data and reach well-reasoned conclusions.
• Strong written and verbal communication, curiosity and willingness to learn new modelling approaches.
• Experience with credit risk modelling, PD/LGD/EAD, IRB, IFRS 9 or stress testing is highly regarded but not essential.

Required skills

• R and/or Python
• SQL
• Data and cloud platforms

The role is based in the Sydney CBD area. Applicants who are already part of the Commonwealth Bank Group must apply through the group's internal application process.