Senior Quantitative Analyst

2 weeks ago

Lindfield, New South Wales, Australia Commonwealth Bank Full time

You are passionate, motivated and display a positive attitude

We are a values-driven and a high performing team

Together we can deliver an exemplary experience for our stakeholders and the Group

Do work that matters

Institutional Banking and Markets (IB&M) is responsible for managing the Group's relationships with major corporate and government clients and institutional investors, and provides a full range of capital raising, transactional and risk management products and services. The division also performs an important internal role for the Group by providing equities, markets, lending, and transaction banking execution capabilities to other CBA business units that allows them to capture opportunities with business customers.

Our purpose is to enhance our clients' success through market-leading capabilities and unique insights. It's part of our DNA.

The Global Markets and Commodities Trade Carbon business within IB&M provides risk management and derivative financing solutions for the Banks clients across a wide variety of clients. The business works closely with the key industry sector teams to provide market risk solutions to our clients.

See yourself in our team

We are a highly driven Front Office Quantitative Solutions Group, providing market and client insights to the front-line sales and trading. Working very closely with trading, sales, IT, quants, and structurers across Global Markets and Commodities Trade Carbon. We are focused on delivering key products to the various clients such Corporates, Central Banks, Asset Managers, and other financial institutions where we have a strategic advantage.

In this role

You will develop and maintain processes to monitor and explain the daily market capital movements whilst liaising with the key stakeholders ensuring that the outcome is accurate and useful.

With your thorough understanding of data transformation and writing reliable processes, you will be responsible for preparing detailed documentation and testing for the APS116 internal model to APRA including providing VaR attribution, backtesting analysis, and capital calculations.

Other responsibilities will also include:

  • Designing, building, and managing processes dealing with large amounts of complex market data
  • Are knowledgeable in producing and deriving market data via the pricing processes, how they change under different market scenarios, and the limitations of different pricing models under a range of market scenarios
  • Are confident preparing detailed documentation and testing for APS116 internal models to APRA.
  • Pride themselves on their ability to liaise with various stakeholders and develop relationships
  • Query Murex and its processes and understand how the Var Scenarios and underlying pricing routines operate.
  • Applying in-depth understanding of Murex including pricing and market risk capital calculations

We're interested in hearing from people who have

  • Strong knowledge in Global markets, Market Risk, VaR, backtesting, and derivative pricing or similar hands-on experience
  • Advanced Python knowledge and experience
  • Experience and deep knowledge of Murex and Var/Expected Shortfall processes
  • Strong attention to detail with problem-solving abilities
  • Proficiency in C++ will be highly valued
  • Excellent written and spoken communication skills with strong influencing and interpersonal abilities
  • Tertiary qualifications in a numerate, engineering, and/or IT-based discipline or relevant industry experience

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, apply now

If you're already part of the Commonwealth Bank Group (including Bankwest, x15ventures), you'll need to apply through 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: 14/06/2024

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