Senior Quantitative Analyst, Counter-party Credit

Sydney

Responsibilities:

• Assist in the quantitative modelling for Market Risk and Counter-Party Credit Risk
• Participate in the continuous improvement of models and methodologies within the Market Risk Analytics team
• Conduct analysis, research and development in support of Market Risk and Counter-party credit risk quantitative management and associated activities

Requirements:

• Excellent tertiary qualifications in an Applied Mathematical field i.e. Physics, Econometrics, Statistics, Engineering etc.
• at least 3 years' experience within Market Risk or Counter-party credit risk team
• Strong knowledge of concepts such as VaR, PFE, CVA, FVA IM and SA-CCR
• Technical exposure to SQL or equivalent
• Programming capabilities in; R, SAS, Python, C++ or equivalent

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

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