Quantitative Manager, Model Risk

5 months ago

Sydney, Australia Westpac Banking Corporation Full time

Quantitative Manager, Model Risk - Markets
- Permanent opportunity to join the Model Risk Team
- Flexible Hybrid working environment
- Open to any location across Australia

**How will I help?**

The Model Risk team is responsible for the independent validation of all models across Westpac Group as well as other model risk management activities. The team and its members have received a number of awards including Risk Team of the Year in recognition of its high-performance culture.

In this role you will be involved in the independent validation activity covering derivative pricing and risk

models across rates, foreign exchange, commodity, and equity markets. You will also engage in the

validation activity associated with a number of critical projects. This will include extensive engagement

with model owners and developers and project teams to deliver the validation activity to a high quality

and in a timely fashion.

**Key responsibilities include**:

- Contribute to building an independent model valuation and risk library (in C++)
- Validation of models used for pricing and risk in Financial Markets & Treasury
- Assistance in the implementation of new products into risk systems.
- Development and enhancement of independent models used for validation.
- Present validation outcomes to management, model owners and developers.

This role offers the opportunity to gain exposure to a wide range of products within the Financial Markets modelling, including: interest rates, foreign exchange, equities and commodities.

**What's in it for me?**

You'll play a significant part of the future of a business that has been around for 200 years. Our purpose is to create better futures together. So, we'll back you in the development of your career, internal career prospects, and flexible working. You'll also keep learning to grown, backed by a fantastic team of people with a can-do, supportive structure. Whatever shape your family takes, we offer generous paid and unpaid parental leave for your nominated primary and support carers. This includes leave to organise adoptions, surrogacy, and foster care arrangements. And we continue to pay your super contributions while you take all the time you need to get your new family settled

**What do I need?**
- At least 6-7 years' experience within a financial market quantitative team
- In depth knowledge of financial markets derivative models, including linear derivatives (e.g. swaps, futures, CDS) and nonlinear derivatives ((e.g. options, swaptions, exotics)
- Ability to challenge derivative valuation and risk models
- Understanding regulatory expectations in relation to derivatives, i.e. APS111, APS116, APS117,CPS226, APS180
- Programming fluency on C++ and R. Experience with Git or other version control software experience.
- Tertiary qualification in a quantitative discipline
- Excellent written and inter-personal communication skills, particularly the ability to explain
complicated issues in an efficient and effective manner. You should have demonstrated an ability to communicate with influence.
- Ability to work independently and in a team with excellent time management skills, with the ability to work to tight deadlines and deal with changing priorities.
- Experience using front office and risk systems like Murex, Calypso, Algorithmics RiskWatch and Real Time Credit Engine, is an advantage

**What is it like to work there?**

We aim to provide one big, supportive team to help us achieve our purpose of creating better futures together. As well as competitive remuneration and a great culture, joining the Westpac family means you will get some of the best banking, wealth and insurance benefits in the market.

We back our employees by helping them work towards industry-recognised qualifications, using online learning, training modules and career planning tools for you to grow with us. We will even pay you to do volunteer or community work.

As an equal opportunity employer, we are proud to have created a culture and work environment that values diversity and flexibility - and champions inclusion.

**How do I apply?**

Start here. Just click on the APPLY or button.

Do you need reasonable adjustments during the recruitment process?

Job ID 300001018834908

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