Quantitative Finance Analyst

3 weeks ago

Sydney, New South Wales, Australia Commonwealth Bank of Australia Full time

About the Role

We are seeking a highly skilled Quantitative Finance Analyst to join our Portfolio Analytics and Modelling team within the Chief Investment Office (CIO). As a key member of the team, you will assist in the development of analytical infrastructure to support CIO's strategic priorities, including the implementation of the Group's Interest Rate Risk in the Banking Book (IRRBB) modelling framework.

Key Responsibilities

  • Develop Python and VBA tools to implement and support decision-making and risk analysis
  • Assist in the development, configuration, and testing of the IRRBB capital models in QRM, including enhanced market risk factor modelling and implementation of new products
  • Provide assistance in the investigation of Balance Sheet risk changes and issue management
  • Contribute to the development and optimisation of CIO trading strategies
  • Implement continuous process improvements and productivity gains
  • Continually develop relationships with relevant business units across the organisation

Requirements

  • Demonstrable experience in Capital Market risk
  • Strong Python, VBA, and SQL knowledge and experience
  • Prior experience with pricing of financial instruments is highly regarded
  • Strong understanding of financial markets and financial products
  • Are a critical thinker with an independent thought process
  • Strong financial modelling skills
  • Ability to present complex financial concepts to a wider audience
  • Strong analytical and numeracy skills
  • Higher tertiary education in a quantitative finance field; Actuarial, Financial Mathematics, Financial Statistics, etc.

About Us

We support our people with flexible working options, including changing start and finish times, to ensure a healthy work-life balance. We are committed to creating an inclusive and diverse workplace culture that values and respects all employees.

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