Senior Quantitative Analyst, Model Risk

Westpac

New South Wales
Permanent
Full-time

15 days ago

Job Description:How will I help?The Model Risk team is responsible for the independent validation of all models across Westpac Group as well as other model risk management activities.
In this role you will be involved in the independent validation activity covering derivative pricing and risk models across rates, foreign exchange, and commodity markets. You will also engage in the validation activity associated with a number of critical projects. This will include extensive engagement with model owners and developers and project teams to deliver the validation activity to a high quality and in a timely fashion.The role will entail:

Validation of quantitative models used for pricing and risk in Financial Markets and Treasury.
Validation of risk systems to incorporate new products and new regulatory requirements.
Development and enhancement of independent models used for validation.
Present validation outcomes to management, model owners and developers.

The role offers the opportunity to gain exposure to a wide range of products within the Financial Markets modelling, including: interest rates, foreign exchange and commodities.What's in it for me?You'll play a significant part of the future of a business that has been around for 200 years. Our purpose is to create better futures together. So, we'll back you in the development of your career, internal career prospects, and flexible working. You'll also keep learning to grown, backed by a fantastic team of people with a can-do, supportive structure. Whatever shape your family takes, we offer generous paid and unpaid parental leave for your nominated primary and support carers. This includes leave to organise adoptions, surrogacy, and foster care arrangements. And we continue to pay your super contributions while you take all the time you need to get your new family settledWhat do I need?

To succeed in this role, you should have:
At least 4-5 years' experience within a financial market quantitative team with a thorough knowledge of financial markets derivatives, including linear (e.g. swaps, futures, CDS) and nonlinear (e.g. options, swaptions, exotics) derivatives.
Understanding accounting and regulatory expectations in relation to derivatives.
An excellent tertiary qualification in a quantitative discipline, with a focus on financial mathematics Excellent written and inter-personal communication skills, particularly the ability to explain complicated issues in an efficient and effective manner.
Excellent time management skills, with the ability to work to tight deadlines and deal with changing Priorities.
Ability to work independently and in a team.
Delivering or validating financial market models from start to finish. Experience in rates, foreign exchange, or energy products, is preferred.
Programming fluency (e.g. C/C++/C#, R, Python or equivalent). Experience with Git or other version control software experience is a plus.
Experience using front office and risk systems like Murex, Calypso, Algorithmics RiskWatch and Real
Time Credit Engine, is an advantage.

What is it like to work there?We aim to provide one big, supportive team to help us achieve our purpose of creating better futures together. As well as competitive remuneration and a great culture, joining the Westpac family means you will get some of the best banking, wealth and insurance benefits in the market.We back our employees by helping them work towards industry-recognised qualifications, using online learning, training modules and career planning tools for you to grow with us. We will even pay you to do volunteer or community work.As an equal opportunity employer, we are proud to have created a culture and work environment that values diversity and flexibility - and champions inclusion.How do I apply?Start here. Just click on the APPLY or APPLY NOW button.At Westpac we are committed to providing a supportive culture and creating diverse, inclusive, and accessible workplaces, branches, products and services for our customers, employees, and community. This role is open to experienced candidates seeking a discussion around workplace flexibility. We invite candidates of all ages, genders, sexual orientation, cultural backgrounds, people with disability, neurodiverse individuals, and Indigenous Australians to apply. If you have questions about the recruitment process, please email talentacquisition@westpac.com.au.Do you need reasonable adjustments during the recruitment process?
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

Westpac

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