Manager- Model Risk- Long-term Contract Opportunity

Sydney

In this role the incumbent will be involved in the independent validation activity covering derivative pricing and risk models across rates, foreign exchange, energy, commodity and equity markets. The incumbent will also engage in the validation activity associated with Interest Rate in the Banking Book (IRRBB) modelling. This will include extensive engagement with model owners and developers, internal committees, working groups and project teams to deliver the validation activity to a high quality and in a timely fashion.

Responsibilities:

• Manage and take ownership of projects
• Manage and coach more junior team members
• Ensure the scope of independent validation appropriately challenges a model's scope of application, methodology, implementation, data used and its documentation;
• Ensure adherence to internal and external policies;
• Present validation outcomes to management, model owners and developers

Skills and Experience Required:

• Excellent tertiary qualification in an applied mathematical field
• At least 5 years' experience within a financial market quantitative team with a thorough understanding of financial markets derivatives, such as IRS, XCCY swaps, OTC options, swaptions, etc. covering a range of asset classes (IR, FX, commodities, energy, equities)
• Knowledge and experience building or testing derivative pricing models
• Understanding of financial mathematics and numerical techniques used to implement models, such as Monte Carlo simulations, finite difference methods, binomial and trinomial trees, etc.
• Proficiency in a programming language i.e. SAS, R, Python or equivalent
• Experience with Git or other version control software experience is desirable.

For more information on this role please contact Olivia on 0409 356 856 or simply click APPLY.

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