Overview
Join our Model Risk Management team based in Sydney who have a global responsibility for ensuring that key financial and risk models used by Macquarie are appropriately managed and validated. Macquarie is a global financial services group operating in 31 markets with 56 years of profitability. You'll be part of a friendly and supportive team where everyone contributes ideas and drives outcomes.
What role will you play?
As a Senior Analyst/Manager, you will be responsible for the independent validation of models used for Counterparty Credit Risk (CCR), Valuation Adjustments (XVA), the Standardised Initial Margin Model (SIMM) and associated valuation pricing models used for trading activity. The role involves delivering high-calibre risk management outcomes to senior stakeholders and ensuring compliance with Australian regulations including APS180, CPS226, and APS116. The team has a global reach to meet local regulatory requirements of Macquarie's entities worldwide.
What You Offer
* Strong quantitative educational background, exceptional problem-solving skills, and the ability to independently manage model validations
* 3+ years' experience in risk management with deep understanding of financial products, key risk factors, and advanced modelling techniques related to CCR, model performance assessments including back-testing, and curve bootstrapping
* Effective collaboration and communication skills, capable of working with multiple stakeholders to achieve strong model risk outcomes and an analytical mindset that can navigate model risk policies and regulations
* Experience with model calibration using statistical or stochastic models, advanced numerical/statistical techniques, with knowledge of computational finance
* Proficiency in high-level programming languages (Python, R); exposure to low-level languages (C++) is valuable
What We Offer
Benefits
* Wellbeing leave and other leave entitlements
* Volunteer leave, gender-affirmation leave, and parental leave provisions
* Access to Employee Assistance Program and wellbeing benefits
* Salary packaging options and learning and development opportunities, including professional membership reimbursement
* Hybrid and flexible working arrangements (role-dependent)
* Reimbursement for work-from-home equipment
About the Risk Management Group
Our Risk Management Group works as an independent, centralized function responsible for independent review and challenge, oversight, monitoring, and reporting in relation to Macquarie's material risks. We are a global team covering compliance, credit, financial crime risk, market risk, operational risk, aggregate risk and prudential, and central functions.
Our commitment to diversity, equity and inclusion
We are committed to fostering a diverse, equitable and inclusive workplace. We encourage people from all backgrounds to apply and welcome all identities. To learn more, contact our team by clicking here. We provide reasonable adjustments during the recruitment process and through working arrangements if you require additional assistance.
Seniority level
* Mid-Senior level
Employment type
* Full-time
Job function
* Business Development and Sales
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