Senior Analyst | Counterparty Credit Risk

vor 1 Monat


Sydney, Österreich Macquarie Bank Limited Vollzeit

Senior Analyst | Counterparty Credit RiskJoin our cross-functional, Credit Modelling team in Sydney who are responsible for all aspects relating to the measurement and provisioning of credit exposure which include counterparty credit risk exposure measurement and methodology for the division.As a Senior Analyst, you will make improvements to existing counterparty credit risk models and assist in developing new models' methodologies and tools compliance with internal and regulatory requirements. You will also have the opportunity to calibrate risk factor evolution model parameters for newly traded assets and assets not yet modelled in the system.You will maintain and develop processes and tools designed to monitor model performance, analyse model output and prepare reports for stakeholders, and reduce the use of legacy non-simulation-based models.In addition, you will ensure comprehensive and current documentation exists across all counterparty credit risk processes and systems, whilst supporting Front Office and Credit Analyst queries relating to counterparty credit risk.What you offer2-4 years of experience in financial services, preferably in investment banking or trading systems supportExperience developing/validating CCR models and understanding CCR and the economic, regulatory and market environments in which Banks operateKnowledge of financial market products, market conventions and regulatory requirements, with some knowledge and understanding of physical commodity marketsGood knowledge of numerical methods, stochastic calculus, and probability theory with excellent programming skills (R, Python and C++ programming).About the Risk Management GroupIn our Risk Management Group, you will be part of an independent, and centralised function, responsible for independent and objective review and challenge, oversight, monitoring and reporting in relation to Macquarie's material risks. Our divisions include Compliance, Credit, Financial Crime Risk, Internal Audit, Market Risk, Operational Risk, Prudential Risk, and Risk Management Group Central.Our commitment to diversity, equity and inclusionWe are committed to providing a working environment that embraces diversity, equity, and inclusion. We encourage people from all backgrounds to apply for a role regardless of their identity, including gender, race, ethnicity, cultural identity, nationality, age, sexual orientation, gender identity, intersex status, marital or family status, neurodiversity, religion or belief, disabilities, or socio-economic background.
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