Sr Quantitative Analyst - Market Risk

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

• Day Rate Contract Opportunity
• Team: Market Risk- Projects Team
• Location: Sydney / Melbourne / Brisbane / open to candidates returning back to AustraliaDrive real change in this fast-paced role in this high performing team.

Role & Responsibility:

• Integrating and testing the bank’s quantitative models used for Pricing & Risk in the new 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
• Ability to learn about new products and pricing methodologies, as part of the Market Risk Replacement Programme

Requirements:

• 3+ years’ experience within a financial market quantitative team with a good, broad understanding of financial markets products and associated derivatives, such as FX, IRS, XCCY swaps, OTC options, swaptions, etc. covering a range of asset classes (IR, FX, Commodities, Equities)
• Knowledge and experience building or testing derivative pricing models such as Hull White, Stochastic volatility, SABR, Cheyette, LMM, BGM, jump-diffusion, etc.
• Understanding of financial mathematics, stochastic calculus and numerical techniques used to implement Risk models, such as Monte Carlo simulations, Finite difference/Analytical difference methods, binomial/trinomial trees, etc.
• IT Development fluency (e.g. R, Python, C, SQL, MongoDB or equivalent). Experience with Git or other version control software experience is desirable.

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.