Job Type
Valerie Lai
Contact email
Email Valerie
Contact phone
+61 8227 9200
about 1 month ago
Join a Tier 1 Institution within the Model Validation team focusing on the traded market risk portfolio.
  • Day Rate Contract 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 a new market risk pricing library
  • 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 re-valuated VaR and Expected Shortfall in the context of Basel 2.5/FRTB
  • Tertiary education in Quantitative Finance, Actuarial, Economics, Statistics, Mathematics or Engineering
  • 3+ years of experience of modelling experience (preferably within traded market risk)
  • Experience with Basel 2.5 / Market Risk Replacement / FRTB is highly valued
  • Strong problem solving skills
  • Ability to convey complex information to non-technical stakeholders
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.