Quantitative Senior Analyst/ Manager (Counterparty Credit Risk And Derivative Model Validation) - Sydney Australia

Company: Confidential
Your Application: You have not applied yet
Location: Sydney Australia, Australia
JOB DESCRIPTION

Quantitative Senior Analyst/ Manager (Counterparty Credit Risk and Derivative Model Validation)

Macquarie Group

Quantitative Senior Analyst/ Manager (Counterparty Credit Risk and Derivative Model Validation)

Join our Model Risk Management team, who are responsible for ensuring the integrity of key financial models used by Macquarie globally.

Macquarie trades a very broad set of assets, including a uniquely large exposure to commodities. This role focuses on assisting Macquarie’s Credit Risk team with the development of models used in the calculation of Counterparty Credit Risk exposures in the trading book.

In this role, you will participate in a broad range of modelling work, including:

calibration and back-testing of models used to measure Counterparty Credit Risk exposure in the trading book

maintaining efficient communication with stakeholders regarding modelling, back-testing and evaluation of model performance

validation of derivatives pricing models and sensitivities, as well as other models used for valuation and risk management, including valuation adjustments (XVA), regulatory initial margin (SIMM) and curve bootstrapping.

You will bring with you:

a quantitative educational background and exceptional problem-solving skills

a thorough understanding of financial markets and of key risk factors for financial products

the capacity to communicate effectively with key stakeholders, both verbally and in writing

minimum experience in a quantitative role of 1 year.

If you are looking for a new challenge, and can demonstrate the above skills, we would like to hear from you.

Additional attributes helpful to the role include:

previous experience with the calibration of statistical or stochastic models from historical or market data, especially VaR/CCR/XVA

knowledge of

advanced numerical and statistical techniques, especially those relevant to computational finance

understanding of commodity markets

model development and maintenance experience in high-level languages:
Python, R or similar languages.

exposure to low level languages such as C++

About the Risk Management Group

The Risk Management Group (RMG) is an independent, centralised unit responsible for ensuring all risk across Macquarie are appropriately assessed and managed. Its divisions include Behavioural Risk, Compliance, Credit, Financial Crime Risk, Internal Audit, Market Risk, Operational Risk, Regulatory Affairs and Aggregate Risk, and RMG Enterprise Support.

Our commitment to Diversity and Inclusion

The diversity of our people is one of our greatest strengths, and in combination with our inclusive environment, it enables us to deliver innovative and sustainable outcomes for our people, clients, shareholders and communities. From day one, you'll be encouraged to be yourself and supported to perform at your best. If our purpose of ‘empowering people to innovate and invest for a better future’ is as inspiring to you as it is to us, please apply. With the right technology, support and resources, our people can work in a range of flexible ways.

We are committed to providing a working environment that embraces and values diversity and inclusion. We encourage candidates to speak with a member of our recruitment team if you require adjustments to our recruitment process to support you, and the type of working arrangements that would help you thrive.




JOB TYPE
Work Day: Full Time
Employment type: Permanent Job
Salary: Negotiable


JOB REQUIREMENTS
Minimal experience: Unspecified



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