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Derivatives Quantitative Analyst

2 weeks ago


Sydney, New South Wales, Australia beBeeRisk Full time $150,000 - $180,000
Quantitative Risk Modeller, Derivatives Pricing

We are seeking a highly skilled and experienced quantitative risk modeller to develop and implement mathematical models for derivatives pricing. The successful candidate will be responsible for developing complex algorithms and statistical models to analyse and manage risk across all asset classes.

About the Role

The purpose of this role is to design and implement quantitative risk methodologies to support our derivatives pricing business. The role will collaborate closely with the Markets and Risk Management teams to develop advanced risk models and contribute to the development of new product initiatives.

Key Responsibilities
  • Develop and implement stress testing and margin methodologies for derivatives pricing.
  • Contribute to the back-testing methodology and framework.
  • Develop/contribute to various other quantitative methodology initiatives.
  • Mentor and guide junior members of the team and ensure their work is delivered on time to a high standard.
  • Ensure any new models or changes to existing models are documented to a high standard and follow the appropriate governance processes.
Requirements
  • At least 7 years' experience as a market risk quantitative analyst in a clearing house, banking, finance or related environment.
  • Tertiary Qualifications in a quantitative discipline (mathematics, statistics, engineering, quantitative finance, etc.).
  • Deep knowledge of exchange traded and OTC products, derivatives pricing, and market data and conventions.
  • Demonstrated ability to design pragmatic solutions to complex financial problems.
  • Advanced statistical analysis and modelling skills.
  • Demonstrated experience in R and/or Python, working with large datasets.
  • Excellent communication skills, technical documentation skills and ability to work independently.
  • Strong commercial acumen.
  • Demonstrated experience collaborating effectively with a broad range of internal and external stakeholders within and across different functional teams, in particular engagement with senior management and regulators.
  • An ability to explain technical subjects to non-experts both verbally and in writing.
  • Curiosity and strong problem-solving skills, being self-motivated, highly resourceful and receptive to constructive feedback.
  • Collaborative team focus and willingness to own problems and their solutions.
  • Focus on the quality of the outcome and continuous improvement, attention to detail and ability to deliver to deadlines, ability to span several streams of work at the same time.

This role offers the opportunity to work on complex financial projects and contribute to the development of new products and initiatives. You will be part of a dynamic and collaborative team that values innovation, creativity and open communication.

What We Offer
  • A competitive salary package and benefits.
  • Ongoing training and development opportunities.
  • A dynamic and supportive work environment.
  • The opportunity to work on complex financial projects and contribute to the development of new products and initiatives.