Manager - Quantitative Modelling

2 weeks ago

Sydney, New South Wales, Australia eFinancialCareers Ltd. Full time
Manager - Quantitative Modelling Commonwealth Bank of Australia Sydney, Australia

Manager - Quantitative Modelling Commonwealth Bank of Australia Sydney, Australia Posted 3 days ago Permanent Competitive

See yourself in the team

The Markets Model Validation team provides independent model validation services for traded market pricing and risk, non-traded market risk, liquidity risk and counterparty credit risk across the Group. The team's analysis, reports and findings assure and inform senior leadership, internal committees, and the external communications with the regulator (APRA). The team leads and conducts model validation of the Group's models, based on internal policy and procedures, regulatory guidance, and the industry's best practices.

Do what matters

Risk Management is responsible for developing and deploying the risk frameworks to allow the Group to take conscious exposures to credit, market, operational, compliance and insurance risks within a Board-approved appetite.

What's in it for you

Reporting direct to the EM Front Office & Traded Market Risk, you will lead new initiatives contributing to the development, maintenance, and enhancement of key market risk models. You will also contribute to strategic initiatives aligned to enhancing modelling frameworks and improving the agility and efficiency of model development activities.

Your responsibilities will include

  • Model Validation - perform independent validation activities for models and quantitative tools developed for APS 111 (fair valuation including XVA) and APS 116 (including internal model and standardized approaches).
  • Ensure that models follow conceptually sound financial pricing methodologies (e.g. utilizing stochastic calculus) and numerical techniques (e.g. Monte Carlo simulation, finite difference methods).
  • Determine if the specified model is correctly implemented - this can require building a benchmark model (in e.g. Python, R, etc.) to verify the faithfulness of the model outputs for given model inputs.
  • Represent Model Risk Assurance team at project advisory groups and coordinate with other leaders in the model risk assurance team.
  • Effectively presenting the results of validation work and business implications to internal working groups and technical forums.
  • Thoroughly documenting the validation report, and appropriately challenging the modelling results and the thought process around the choice of modelling methodology, to enable stakeholders to understand the strengths and weakness of the final model and assess its impact.
  • Evaluating model implementation challenges, including assessment of the business impact of new or updated models on risk measures or processes.
We are interested in hearing from you if you have:
  • Model development or validation experience. Market risk modelling experience is preferred.
  • Qualifications in a quantitative discipline such as mathematics, statistics, econometrics, actuarial science, engineering, and data science.
  • A solid foundation in applying advanced financial mathematical and statistical techniques is essential
  • Programming skills in R, Python and SQL, and manipulation of large and complex datasets;
  • Time management and prioritization skills
  • Experience with the Basel regulatory standards and relevant APRA regulations regarding market risk is advantageous
  • Demonstrated skills in written and verbal communication, including ability to interpret and report complex material and make sound recommendations to a range of stakeholders.
Working with us:

We support our people with at least half your time each month connecting in the Sydney office, allowing for flexibility in the remaining time.

We have many other flexible working options available including changing start and finish times. Talk to us about how these arrangements might work for you.

If this sounds like you then apply today

If you're already part of the Commonwealth Bank Group (including Bankwest, x15ventures), you'll need to apply through Sidekick to submit a valid application. We're keen to support you with the next step in your career.

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Advertising End Date: 24/06/2024

Job ID REQ211554

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