Analyst / Senior Analyst – Counterparty Credit Risk
Join our cross‐functional Risk Management Group Credit Modelling – Counterparty Credit Risk team in Sydney and be responsible for all aspects related to the counterparty credit risk (CCR) exposure measurement and methodology for the division.
What role will you play?
In this role, you will enhance existing CCR models and contribute to the development of new modelling methodologies and tools that meet internal standards and regulatory requirements. You will be responsible for calibrating risk factor evolution (RFE) model parameters for newly traded assets and those not yet incorporated into the CCR system. You will also maintain and further develop processes and tools that monitor CCR model performance, analyse model outputs, and prepare clear, insightful reports for stakeholders. You will support the transition away from legacy non‐simulation‐based models by onboarding additional assets and products into the primary CCR model.
What You Offer
* Advanced degree in a quantitative discipline (e.g., Mathematics, Statistics, Actuarial Science, Engineering, Computer Science)
* 4+ years of experience in financial services, preferably in investment banking or trading systems support
* Experience developing/validating CCR models and understanding CCR and the economic, regulatory and market environments in which banks operate
* Knowledge of financial market products, market conventions and regulatory requirements
* Strong knowledge of numerical methods, stochastic calculus and probability theory
* Good written and verbal communication skills (English)
* Excellent programming skills (R, Python, C++)
Benefits
* 1 wellbeing leave day per year
* Up to 5 additional service bonus leave days per year
* Up to 20 weeks' paid parental leave for primary caregivers, 12 days of transition leave upon return to work, and 6 weeks' paid leave for non‐primary caregivers
* 2 days of paid volunteer leave and donation matching
* Up to 12 months' gender affirmation leave, including 6 weeks' paid leave
* Access to an Employee Assistance Program and wellbeing benefits including skin and health checks, and flu vaccinations
* Access to a wide range of salary packaging options
* Access to a wide range of learning and development opportunities, including reimbursement for professional membership or subscription
* Hybrid and flexible working arrangements, dependent on role
* Reimbursement for work‐from‐home equipment
About the Risk Management Group
The Risk Management Group works as an independent, centralised function, responsible for independent and objective review, challenge, oversight, monitoring and reporting of Macquarie's material risks. It is a global team that aims to manage the risks of today and anticipate those of tomorrow. Divisions include compliance, credit, financial crime risk, market risk, operational risk, aggregate risk and prudential, and central.
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, including race, ethnicity, cultural identity, nationality, gender (including gender identity or expression), age, sexual orientation, marital or partnership status, parental, caregiving or family status, domestic violence status, neurodiversity, religion or belief, disability, or socio‐economic background. We welcome further discussions on how you can feel included and belong at Macquarie as you progress through the recruitment process. To learn more, contact our team by clicking here.
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