Address How will I help?
Market Risk Analytics is responsible for quantitative aspects of Westpac’s Basel 2.5 Risk Engine, and internal market Risk measurement. The team and its members operate as a cohesive unit to perform various Quantitative tasks.
In this role you will have the opportunity to be involved in the development, implementation and testing of risk models traversing IR, FX, Commodities and Equity Markets, as part maintaining and improving the Market Risk model. This will include engagement with the teams in Market Risk, Front Office, internal committees, working groups and project teams to deliver quantitative elements of the risk engine to the business, to a high quality, in a timely fashion.
Key responsibilities:
Understanding derivative valuations - Integrating and testing the bank’s quantitative models used for Pricing & Risk in the Market Risk Engine
Market Data Transformation (eg. the construction of constant maturity pillars and calibration of volatility surfaces for VaR incorporating skew (FX/IR techniques)
Understanding of the drivers of a historically simulated revaluated Value at Risk and/or Expected Shortfall in the context of Basel 2.5/FRTB
Forward looking thinking and the ability to learn about new products, pricing methodologies.
Utilise data analysis tools to deliver insights from the Market Risk models and financial markets business.
Lead and drive modelling and process improvements.
Interaction with multiple parts of the business across Financial Markets, Risk, Treasury and Finance.
What’s in it for me?
You’ll play a significant part of the future of a business that has been around for 200 years. Our purpose is to create better futures together. So, we’ll back you in the development of your career, internal career prospects, and flexible working. You’ll also keep learning to grown, backed by a fantastic team of people with a can-do, supportive structure. Whatever shape your family takes, we offer generous paid and unpaid parental leave for your nominated primary and support carers. This includes leave to organise adoptions, surrogacy, and foster care arrangements. And we continue to pay your super contributions while you take all the time you need to get your new family settled.
What do I need?
We are seeking a candidate with a distinguished tertiary qualification in mathematics, actuarial science, statistics, or a closely related quantitative discipline. Ideally you'll possess a solid understanding of calculus and numerical techniques, including proficiency in Monte Carlo simulations, Finite difference/Analytical difference methods, binomial/trinomial trees, and other PDE solving techniques.
You'll be able to demonstrate hands-on experience in implementing solutions using programming languages such as Python, R, C++, or equivalent. Familiarity with version control systems, specifically Git, and sound software management practices.
Effective communication skills, both written and interpersonal, are paramount for this position. You'll excel in articulating complex concepts with clarity. You have the ability to work efficiently under tight deadlines and adapt to changing priorities.
While not mandatory, up to two years of experience in quantitative modelling for financial products within financial markets would be viewed favourably.
What is it like to work there?
We aim to provide one big, supportive team to help us achieve our purpose of creating better futures together. As well as competitive remuneration and a great culture, joining the Westpac family means you will get some of the best banking, wealth and insurance benefits in the market.
We back our employees by helping them work towards industry-recognised qualifications, using online learning, training modules and career planning tools for you to grow with us. We will even pay you to do volunteer or community work.
As an equal opportunity employer, we are proud to have created a culture and work environment that values diversity and flexibility – and champions inclusion.
How do I apply?
At Westpac we are committed to providing a supportive culture and creating diverse, inclusive, and accessible workplaces, branches, products and services for our customers, employees, and community. This role is open to experienced candidates seeking a discussion around workplace flexibility. We invite candidates of all ages, genders, sexual orientation, cultural backgrounds, people with disability, neurodiverse individuals, and Indigenous Australians to apply. If you have questions about the recruitment process, please email talentacquisition@westpac.com.au.
Do you need reasonable adjustments during the recruitment process?
We can provide reasonable adjustments for individuals with disability and/or neurodiversity. If you require an adjustment to be made during the recruitment process at any stage, please call 1800 655 592 Option 2.3 or email talentacquisition@westpac.com.au
