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Location
Brisbane
Salary
$1400000 per annum
Job Type
Permanent
Ref
BH-180787-3
Contact
Valerie Lai
Posted
about 2 months ago
Multiple roles available! Join a Tier 1 Institution within the Model Risk team.
  • Permanent Opportunity
  • Location: Sydney / Melbourne / Brisbane / open to candidates returning back to Australia
  • Drive real change in this fast-paced role in this high performing team.
Role & Responsibility:
  • Product: Derivative Products - FX, IRS, swaps, OTC options, swaptions, etc
  • Build and implement an independent model valuation and new market risk pricing library (in C++)
  • End-to-end integration and testing of market risk models with new Basel 2.5 RIsk Engine build and accreditation.
  • Implement new market risk replacement program and engage with various stakeholders and model owners and developers
  • Market risk data transformation - understand historically simulated revaluated VaR and Expected Shortfall in the context of Basel 2.5/FRTB
Requirements:
  • Tertiary education in Quantitative Finance, Actuarial, Economics, Statistics, Mathematics or Engineering
  • 5+ years of experience of modelling experience (preferably within traded market risk)
  • Experience with Basel 2.5 / Market Risk Replacement / FRTB is highly valued
  • Understanding regulatory expectations in relation to derivatives, i.e. APS111, APS116, APS117,CPS226, APS180
  • Strong problem solving skills
  • Ability to convey complex information to non-technical stakeholders
  • Programming fluency on C++ and R. Experience with Git or other version control software experience.
For further information on this role or to confidentially apply, please contact Valerie Lai on 02 8227 9200 or apply directly via the Apply for this job button. Only WORD FORMAT resumes will be accepted.