Manager / Senior Manager, Quantitative Model Risk

Benefits:

• Permanent roles, with defined career progression.
• Gain exposure to a wide range of products: IRS, FX, Equities & Commodities
• Highly collaborative and high performing team.
• Melbourne / Sydney / Brisbane location. Open to consider returning AU residents with relevant overseas experience.

Role Responsibilities (based on competencies):

• Develop, enhance, and validate all pricing and risk models in Financial Markets & Treasury.
• Present findings to model owners, developers and management. Challenge the existing models when required.
• Participate in risk transformation projects.
• Contribute to building an independent model valuation and new market risk pricing library (in C++).

Requirements:

• 7+ years of experience in quantitative market risk management / modelling.
• Knowledge of financial markets derivative models, including linear and nonlinear derivatives.
• Understanding of regulatory expectations in relation to derivatives, i.e. APS111, APS116, APS117, CPS226, APS180.
• Tertiary qualified in quant / engineering / mathematics / finance discipline.
• Knowledge of FRTB requirements and ability to replicate capital calculations.
• Highly advantageous: programming fluency (C++, R), Git, Murex, Calypso, Algorithmics RiskWatch and Real Time Credit Engine.

Please submit your CV via the 'Apply' button. For a confidential chat please contact Eugena Gong on eugena.gong@randstad.com.au
At Randstad, we are passionate about providing equal employment opportunities and embracing diversity to the benefit of all. We actively encourage applications from any background.
Skills
market risk; Quantitative Modelling; risk modelling; model validation; model development; model testing; model implementation; traded market risk; C++;
Education
Bachelor Degree