Manager / Senior Manager, Quantitative Market Risk

Found in: beBee S AU - 2 weeks ago


Canberra, Australia Randstad Australia Full time

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 / Adelaide / Perth / Canberra 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.


        key responsibilities

        • Multiple Manager / Senior Manager roles have become available with a Tier-1 banking institution in their Model Validation team

          experience

          7 years

          skills

          market risk; quantitative modelling; risk modelling; model validation; model development; model testing; model implementation; traded market risk;

          qualifications

          • tertiary qualified in quant / engineering / mathematics / finance discipline

            education

            Bachelor Degree


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