JOB  SUMMARY

What will your day look like?

Financial

Validation of risk models and implementations of risk engine or regulatory capital standard models – this covers large parts of TMR, NTMR & CCR, both systems and bespoke models
Validation work in meeting Regulatory & Audit commitments
Provide stakeholder assistance to ensure smooth operations of risk measurement and reporting systems within Markets Risk; in particular provide quantitative support and assistance to Product managers, Technology and reporting functions in day-to-day activities of Markets Risk.

• Contribute to discussion of risk, regulatory and validation issues and how they will be handled by Risk MMV

Risk:
Maintain, in fact and in appearance, appropriate independence from model ownership and methodology development in all validations
Assist quantitatively in ensuring the integrity of risk systems and the risk metrics they generate for ANZ’s Trading operations
Assist in remediation of Audit issues and ensure all op risk, compliance and risk requirements of the job are 100% met.

Customer:
Provide proactive risk support to Markets Risk product managers & other Mkts Risk teams, as well as to associated functions (Finance, Front Office, technology etc)
Provide technical & quant assistance, and work to increase the technical & quant skills and understanding of other Mkts Risk teams
Work effectively with all stakeholders in project work and negotiate project priorities effectively to ensure efficient delivery

People:
Work well with key stakeholders & communicate quant issues effectively to ensure informed planning.
Maintain and enhance quantitative knowledge across asset classes and areas of risk to maximise versatility and assistance to the broader Mkts Risk function
Contribute to a good team culture of speaking up, learning & collaboration, and contribute to a team reputation for selflessly assisting the broader Mkts Risk function
What will you bring?

‘Must have’ knowledge, skills and experiences

List key ‘must have’ knowledge, skills, experiences (KSE) that are relevant to this role. ‘Must haves’ are critical and fundamental KSEs to perform the role.

The ‘must have’ knowledge, skill and experience (KSE) the role requires are:

• Experience in Financial markets across a number of asset classes
• Strong analytical skills and deep knowledge of financial mathematics, including the pricing and risk-attributes of derivatives products (swaps, options, exotics)
• Strong computational finance skills, including some programming expertise (C/C++, VBA, or Python etc)
• Strong understanding of markets risk concepts such as VaR, sensitivities, FVA, CVA, CSA-aware discounting etc and their mathematical calculation and properties
• Good interpersonal & communications skills with ability to work cross-functionally, across different business areas and stakeholder groups

‘Good to have’ knowledge, skills and experiences

List key ‘good to have’ knowledge, skills, experiences (KSE) that are relevant to this role. ‘Good to haves’ are considered advantageous KSEs to perform the role.

The ‘good to have’ knowledge, skill and experience (KSE) the role requires are:

• Experience in Markets Risk
• Advanced degree in a quantitative field of study (Maths, Physics, Actuarial Studies or Quant Finance etc)

Are you interested in this position?

Apply by clicking on the “Apply Now” button below!

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