Quantitative Analyst, Market Risk

2 weeks ago

Sydney, Australia ANZ Banking Group Full time

**Req ID**: 61042
**Department**: Insto Markets COO
**Division**: Institutional
**Location**: Sydney
About the role

At ANZ our purpose is to shape a world where people and communities thrive. We’re making this happen by improving the financial wellbeing and sustainability of our customers so they can achieve incredible things
- whether they’re buying a home, building a business or saving for things big or small.

The Quantitative Analyst, Markets Risk - Capital Reforms Project role is critical to making this happen and will support the Global Markets and Group Treasury businesses in achieving their aspirations and fulfilling regulatory obligations through the validation of risk models across Traded and Non-Traded Markets Risk. This role is primarily focused on validating the modelling required for Interest Rate Risk in the Banking Book (IRRBB) under APRA standard APS 117.

**Key accountabilities will include, but are not limited to**:
Collaborating closely with the IRRBB project team and Non-Traded Market Risk Managers to assess accreditation requirements under APS117;
Playing a pivotal role in validating the calculation of APS 117 regulatory capital models and their specification and implementation in Markets Risk core systems;
Providing quantitative risk support, review, and challenge to Markets Risk product managers, Markets Finance, Group Treasury, and Balance Sheet Trading, particularly regarding modelling choices and assumptions;
Proactively assessing risk methodology issues, participating in discussions with Technology teams and model developers to aid in their timely remediation and resolution. Effectively communicating (both written and verbal), influencing decisions, and negotiating outcomes;
Cultivating a reputation for credibility, integrity, and technical excellence contributing to the overall success and reputation of the validation team.
Establishing a positive, open, collaborative, and efficient working culture in all interactions, serving as a role model within and outside the validation team. Contributing to embedding a strong risk culture in ANZ and ensuring alignment with established risk and compliance principles and policies.

**Role Location**: 242 Pitt Street, Sydney NSW 2000
**Schedule**: Full Time
**Role Type**: 12-Month Opportunity

What will you bring?

To grow and be successful in the role, you will ideally bring the following:
Extensive experience in Market Risk or Financial Markets in a quantitative role
Strong knowledge of Financial Mathematics and derivatives products across multiple asset classes
Strong computational finance skills preferred (eg. Excel, VBA, SQL, Python)
Sound understanding of Market Risk management in both the Banking book and Trading book
Familiarity with regulatory obligations, and the ability to interpret requirements under APRA prudential standard APS117
Ability to communicate Market Risk and quantitative concepts clearly and effectively to stakeholders
Demonstrated analytical and problem-solving skills with meticulous attention to detail
Relationship building skills and the ability to influence outcomes
Collaborative and team focused

You’re not expected to have 100% of these skills. At ANZ a growth mindset is at the heart of our culture, so if you have most of these things in your toolbox, we’d love to hear from you.

So, why join us?

There’s something special about being part of ANZ. From the moment you join us, you’re part of a team working towards a common goal: improving the financial wellbeing and sustainability of our millions of customers.

As a Purpose-led bank, we’ve committed to delivering commercial and societal outcomes across environmental sustainability, financial wellbeing and household affordability. We deliver these sustainability commitments with our customers, in our business and across the communities where we operate.

But it’s not just our customers who’ll feel your impact. You’ll feel it too. Because at ANZ, you’ll have the resources and community you need to take the next big step in your career, towards even bigger things in the future.

We offer a range of benefits tailored to the countries in which we operate including Health and Wellbeing programs and flexible working arrangements.

Job Posting End Date

19/04/2024, 11.59pm, (Melbourne Australia)

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