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Location
Sydney
Salary
$850-$1000 p/d+ super
Job Type
Contract
Ref
BH-180196-5
Contact
Valerie Lai
Posted
about 2 years ago
Join a Tier 1 Institution within the Model Validation team focussing on the traded market risk portfolio.
  • Day Rate Contract Opportunity
  • Location: Sydney / Melbourne / Brisbane
  • 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/
  • 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
  • 3+ years of experience of modelling experience (preferably within traded market risk)
  • Experience with Basel 2.5 / Market Risk Replacement 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.