Data Analyst Professional: Enhance Credit Risk Models

1 day ago

Sydney, New South Wales, Australia Macquarie Full time

Macquarie, a global financial services group, is seeking a Senior Analyst to join its cross-functional Credit Modelling team in Sydney. This role involves improving existing counterparty credit risk models and developing new methodologies and tools that comply with internal and regulatory requirements.

Key Responsibilities:

  • Maintain and develop processes and tools to monitor model performance, analyze model output, and prepare reports for stakeholders.
  • Reduce the use of legacy non-simulation-based models and ensure comprehensive documentation exists across all counterparty credit risk processes and systems.
  • Support Front Office and Credit Analyst queries relating to counterparty credit risk.

Requirements:

  • An advanced degree in a quantitative discipline, such as Mathematics, Statistics, Actuarial Science, Engineering, or Computer Science.
  • 2-4 years of experience in financial services, preferably in investment banking or trading systems support.
  • Experience developing and validating CCR models and understanding CCR and the economic, regulatory, and market environments in which banks operate.
  • Knowledge of financial market products, market conventions, and regulatory requirements, with some knowledge of physical commodity markets.
  • Good knowledge of numerical methods, stochastic calculus, and probability theory, with excellent programming skills in R, Python, and C++.

Compensation: The estimated annual salary for this position is around $120,000-$180,000 AUD, depending on experience and qualifications.

About Macquarie: Our Risk Management Group provides independent review and challenge, oversight, monitoring, and reporting on Macquarie's material risks. We have a diverse range of benefits, including hybrid working arrangements, wellbeing leave days, paid parental leave, and access to learning and development opportunities.

Diversity, Equity, and Inclusion: We are committed to providing a working environment that embraces diversity, equity, and inclusion. We encourage people from all backgrounds to apply for this role.

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