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 relating to the counterparty credit risk (CCR) exposure measurement and methodology for the division.
At Macquarie, our advantage is bringing together diverse people and empowering them to shape all kinds of possibilities. We are a global financial services group operating in 31 markets and with 56 years of unbroken profitability. You'll be part of a friendly and supportive team where everyone – no matter what role – contributes ideas and drives outcomes.
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. Additionally, you will 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
* 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
* Good knowledge of numerical methods, stochastic calculus, and probability theory
* Good communication skills (verbal and written English)
* Excellent programming skills (R, Python and C++ programming)
We love hearing from anyone inspired to build a better future with us. If you're excited about the role or working at Macquarie, we encourage you to apply.
What we offer
At Macquarie, you're empowered to shape a career that's rewarding in all the ways that matter most to you. Macquarie employees can access a wide range of benefits which, depending on employment type, include:
* 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 along with 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 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
Our Risk Management Group works as an independent, and centralised function, responsible for independent and objective review and challenge, oversight, monitoring and reporting in relation to Macquarie's material risks. We are a global team that aims to manage the risks of today and anticipate the risks of tomorrow. Our 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, family and 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 our recruitment process. To learn more, contact our team by clicking here.
Our aim is to provide reasonable adjustments to individuals who may need support during the recruitment process and through working arrangements. If you require additional assistance, please let us know in the application process.
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