Senior Manager, Model Risk - Markets
Westpac
- Sydney, NSW
- Permanent
- Full-time
- Permanent opportunity to join the Risk Analytics and Insights Team
- Flexible Hybrid working environment
- Open to any location across Australia
- Contribute to building an independent model valuation and risk library (in C++)
- Validation of models used for pricing and risk in Financial Markets & Treasury
- Assistance in the implementation of new products into risk systems.
- Development and enhancement of independent models used for validation.
- Present validation outcomes to management, model owners and developers.
- At least 10 years' experience within a financial market quantitative team
- In depth knowledge of financial markets derivative models, including linear derivatives (e.g.swaps, futures, CDS) and nonlinear derivatives ((e.g. options, swaptions, exotics)
- Knowledge of FRTB requirements and ability to replicate capital calculations
- Ability to challenge derivative valuation and risk models
- Understanding regulatory expectations in relation to derivatives, i.e. APS111, APS116, APS117, CPS226, APS180
- A Tertiary qualification in a quantitative discipline
- Excellent written and inter-personal communication skills, particularly the ability to explain complicated issues in an efficient and effective manner. You should have demonstrated an ability to communicate with influence.
- Ability to work independently and in a team and excellent time management skills, with the ability to work to tight deadlines and deal with changing priorities.
- Programming fluency on C++ and R. Experience with Git or other version control software experience.
- Experience using front office and risk systems like Murex, Calypso, Algorithmics RiskWatch and Real Time Credit Engine, is an advantage.
We can provide reasonable adjustments for individuals with disability and/or neurodiversity. If you require an adjustment to be made during the recruitment process at any stage, please call 1800 655 592 Option 2.3 or email talentacquisition@westpac.com.au