Counterparty Credit Modelling Expert

1 week ago

Sydney, New South Wales, Australia beBeeCredit Full time $90,000 - $150,000
Job Description

Credit Modelling Position Overview

In our cross-functional Credit Modelling team, we are responsible for all aspects relating to the measurement and provisioning of credit exposure including counterparty credit risk (CCR) exposure measurement and methodology.

We strive to bring together diverse individuals and empower them to shape innovative solutions. As a global financial services group operating in 31 markets with 56 years of unbroken profitability, you'll be part of a collaborative team where everyone contributes ideas and drives outcomes.

Your Responsibilities:

  • Monitor breaches of approved counterparty limits and ensure adherence to trading policies.
  • Support Front Office and Credit Analysts with queries relating to exposures and systems.
  • Maintain and develop processes and tools designed to monitor CCR model performance, analyse model output, and prepare reports for stakeholders.
  • Ensure comprehensive and current documentation exists across all exposure processes and systems.

Required Skills and Qualifications:

  • Advanced degree in a quantitative discipline such as Mathematics, Statistics, Actuarial, Engineering, or Computer Science.
  • Experience in financial services, ideally in investment banking or trading systems support.
  • Knowledge of financial markets products, market conventions, and regulatory requirements.
  • Good knowledge of numerical methods, stochastic calculus, and probability theory.
  • Strong communication and stakeholder management skills.
  • Programming skills in R, Python, and C++ will be highly regarded.

Benefits:

Our Risk Management Group works as an independent and centralised function, responsible for independent and objective review and challenge, oversight, monitoring, and reporting in relation to Macquarie's material risks. We aim to manage the risks of today and anticipate the risks of tomorrow.

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