Senior Manager - Market Risk - Model Risk

Multiple roles available! Join a Tier 1 Institution within the Model Risk team.

• Permanent Opportunity
• Location: Sydney / Melbourne / Brisbane / open to candidates returning back to Australia
• Drive real change in this fast-paced role in this high performing team

Role & Responsibility:

• Product: Derivative Products - FX, IRS, swaps, OTC options, swaptions, etc
• Build and implement an independent model valuation and new Market Risk pricing library (in C++)
• End-to-end integration and testing of Market Risk models with new Basel 2.5 RIsk Engine build and accreditation.
• Implement new Market Risk replacement program and engage with various stakeholders and model owners and developers
• Market risk data transformation - understand historically simulated revaluated VaR and Expected Shortfall in the context of Basel 2.5/FRTB

Requirements:

• Tertiary education in Quantitative Finance, Actuarial, Economics, Statistics, Mathematics or Engineering
• 10+ years of experience of modelling experience (preferably within traded Market Risk)
• Experience with Basel 2.5 / Market Risk Replacement / FRTB is highly valued
• Understanding regulatory expectations in relation to derivatives, i.e. APS111, APS116, APS117,CPS226, APS180
• Strong problem solving skills
• Ability to convey complex information to non-technical stakeholders
• Programming fluency on C++ and R. Experience with Git or other version control software experience.

For further information on this role or to confidentially apply, please contact Valerie Lai on 02 8227 9*** or apply directly via the Apply for this job button. Only WORD FORMAT resumes will be accepted.