Senior Analyst, Market Risk
Senior Analyst, Value at Risk, Market Risk - based in sunny Sydney, Australia
- Value at Risk modelling
- Risk management options / derivatives
- Regulatory and economic capital calculations
About the role:
Reporting to a Senior Manager in the Value at Risk (VaR / Capital) team within Market Risk, you will be working in a small, collaborative team that is responsible for Group-wide market risk modelling and capital calculations. Key responsibilities include:
- Value at Risk modelling (VaR)
- devising and testing model enhancements
- calibration of model parameters
- analysis of back-testing results
- regulatory and economic capital calculations
- calculation of contingent funding in the trading book
- overseeing Macquarie compliance with APS 116
About you:
- Degree qualified in Finance, Mathematics, Statistics, Engineering or similar
- experience in a risk, front-office role, or related role
- understanding of the risk management of options and other derivatives
- Value at Risk (or similar risk model) experience desirable but not essential
- strong Excel skills
- excellent numerical and analytical skills
- clear, confident communicator
About us:
The Risk Management Group (RMG) is an independent, centralised unit responsible for assessing and monitoring risks across Macquarie. This includes market and liquidity risk, credit risk, compliance risk and operational risk. RMG personnel liaise closely with all operating areas to ensure risks are understood and properly managed.
To apply, please follow the links below. For a confidential discussion call Scott Harris on 02 8237 6166.
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