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Model Risk Quantiative Analyst

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Opportunity to join a leading big 4 bank and engage in the independent validation of derivative pricing and risk models across various markets including rates, foreign exchange, commodities, and equities.

Key Responsibilities:

  • Contribute to the development of an independent model valuation and risk library (using C++).
  • Validate models used for pricing and risk in Financial Markets & Treasury.
  • Assist with the implementation of new products into risk systems.
  • Develop and enhance independent models used for validation.
  • Present validation outcomes to management, model owners, and developers.

Key Requirements:

  • At least 6-7 years of experience in a financial market quantitative team.
  • In-depth knowledge of financial markets derivative models, including linear derivatives (e.g., swaps, futures, CDS) and nonlinear derivatives (e.g. exotics)
  • Ability to challenge derivative valuation and risk models.
  • Understanding of regulatory expectations related to derivatives, including APS111, APS116, APS117, CPS226, and APS180.
  • Proficiency in programming with C++ and R, and experience with version control software like Git.
  • Tertiary qualification in a quantitative discipline.
  • Excellent written and interpersonal communication skills, with the ability to explain complex issues efficiently and effectively. Proven ability to communicate with influence.
  • Ability to work independently and as part of a team, with excellent time management skills to meet tight deadlines and adapt to changing priorities.
  • Experience using front office and risk systems such as Murex, Calypso, Algorithmics RiskWatch, and Real Time Credit Engine is advantageous.

Aboriginal and Torres Strait Islander Peoples are encouraged to apply.
To apply please click apply or call Ali Heffernan on 02 8289 3193 for a confidential discussion.

Contract Type: FULL_TIME

Specialism: Banking & Financial Services

Focus: Risk - Credit / Mkt/ Operational

Industry: Banking

Salary: Competitive Salary

Workplace Type: Hybrid

Experience Level: Mid Management

Location: Sydney CBD

Job Reference: 1978650/001

Date posted: 7 June 2024

Consultant: Ali Heffernan

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