Quantitative Risk Analyst
5 days ago
At ANZ, we're committed to improving the financial wellbeing and sustainability of our customers, enabling them to achieve their goals and aspirations.
About the RoleThis is a critical opportunity to join our Markets Risk team and contribute to the validation of risk models across Traded and Non-Traded Markets Risk. As a Quantitative Analyst, you will play a pivotal role in ensuring the accuracy and reliability of our risk models, supporting the Global Markets and Group Treasury businesses in achieving their aspirations and fulfilling regulatory obligations.
Key Responsibilities- Collaborate with the IRRBB project team and Non-Traded Market Risk Managers to assess accreditation requirements under APS117;
- Validate the calculation of APS 117 regulatory capital models and their specification and implementation in Markets Risk core systems;
- Provide quantitative risk support, review, and challenge to Markets Risk product managers, Markets Finance, Group Treasury, and Balance Sheet Trading;
- Assess risk methodology issues and participate in discussions with Technology teams and model developers to aid in their timely remediation and resolution;
- Prepare comprehensive documentation and liaise with stakeholders as a quantitative subject matter expert;
- Cultivate a reputation for credibility, integrity, and technical excellence contributing to the overall success and reputation of the validation team;
- Establish a positive, open, collaborative, and efficient working culture in all interactions.
- Extensive experience in Market Risk or Financial Markets in a quantitative role;
- Strong knowledge of Financial Mathematics and derivatives products across multiple asset classes;
- Strong computational finance skills preferred (eg. Excel, VBA, SQL, Python);
- Sound understanding of Market Risk management in both the Banking book and Trading book;
- Familiarity with regulatory obligations, and the ability to interpret requirements under APRA prudential standard APS117;
- Ability to communicate Market Risk and quantitative concepts clearly and effectively to stakeholders;
- Demonstrated analytical and problem-solving skills with meticulous attention to detail;
- Relationship building skills and the ability to influence outcomes;
- Collaborative and team focused;
At ANZ, we're committed to creating a workplace that reflects the diversity of the communities we serve. We welcome applications from everyone and encourage you to talk to us about any adjustments you may require to our recruitment process or the role itself. If you are a candidate with a disability or access requirement, let us know how we can provide you with additional support.
We're a diverse bunch at ANZ, and we're committed to building a workplace that reflects the diversity of the communities we serve. We offer a range of flexible working arrangements, so our people can 'make work, work for them'. We also provide a range of benefits, including access to health and wellbeing services and discounts on selected products and services from ANZ and more.
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