Market Risk Modeller
We are seeking an experienced Market Risk Modeller to join our team in Sydney. As a key member of the Global Market Risk group, you will play a critical role in developing and maintaining models that cover all asset classes across the Group.
The successful candidate will have a strong understanding of fundamental quantitative/computational finance principles and techniques, as well as excellent analytical and problem-solving skills. Proficient programming skills and the ability to traverse various programming languages such as Python, R, and SQL are also essential.
This is an exciting opportunity to work with various stakeholders, build out new models, and enhance existing models to meet the dynamic requirements of Market Risk. The ideal candidate will have a tertiary qualification in finance, mathematics, statistics, engineering or a related quantitative discipline.
Key Responsibilities:
* Develop and maintain Market Risk models including regulatory capital models for Traded Market Risk (under APS 116), and Interest Rate Risk in the Banking Book (under APS 117)
* Engage with various stakeholders to ensure model accuracy and relevance
* Develop and implement new models to meet the dynamic requirements of Market Risk
* Maintain and enhance existing models to ensure continued accuracy and relevance
Requirements:
* Strong understanding of fundamental quantitative/computational finance principles and techniques
* Excellent analytical and problem-solving skills
* Proficient programming skills and ability to traverse various programming languages (such as Python, R, and SQL)
* Tertiary qualification in finance, mathematics, statistics, engineering or a related quantitative discipline