Senior Quantitative Analyst

4 weeks ago

Sydney, New South Wales, Australia Commonwealth Bank Of Australia Full time
Job Summary

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

About the Role

In this role, you will assist in the development of Python and VBA tools to implement and support decision-making and risk analysis. You will also provide assistance in the investigation of Balance Sheet risk changes and issue management, as well as contribute to the development and optimisation of CIO trading strategies. Additionally, you will implement continuous process improvements and productivity gains, and continually develop relationships with relevant business units across the organisation.

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.

What We Offer

We support our people with at least half your time each month connecting in the Sydney office, allowing for flexibility in the remaining time. We have many other flexible working options available, including changing start and finish times. Talk to us about how these arrangements might work for you.

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