Quantitative Analyst

Overview Quantitative Analyst - Counterparty Credit Risk Modelling and Analytics Join our cross-functional Credit Modelling team in Sydney responsible for measurement and provisioning of credit exposure, including counterparty credit risk exposure measurement and methodology for the division. Macquarie is a global financial services group operating in 31 markets. You’ll be part of a friendly and supportive team where ideas and outcomes matter. What role will you play? As a Quantitative Analyst, you will make improvements to existing counterparty credit risk models and assist in developing new models’ methodologies and tools to comply with internal and regulatory requirements. You will 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 across all counterparty credit risk processes and systems, whilst supporting Front Office and Credit Analyst queries relating to counterparty credit risk. What You Offer Strong academic qualifications in a quantitative subject (e.g., Financial Mathematics, Master’s, or PhD) 2+ years of experience in financial services, preferably in investment banking or trading systems support Experience developing/validating CCR models and understanding CCR and the economic, regulatory and market environments in which Banks operate Knowledge of financial market products, market conventions and regulatory requirements, with some knowledge and understanding of physical commodity markets Good knowledge of numerical methods, stochastic calculus, and probability theory with excellent programming skills (R, Python and C++ programming) What We Offer Benefits At Macquarie, you’re empowered to shape a career that’s rewarding in all the ways that matter most. Benefits depend on employment type and may include: 1 wellbeing leave day per year Up to 5 additional service bonus leave days per year Up to 20 weeks’ paid parental leave for primary caregivers along with 12 days of transition leave upon return to work, and 6 weeks’ paid leave for non-primary caregivers 2 days of paid volunteer leave and donation matching Up to 12 months’ gender affirmation leave, including 6 weeks’ paid leave Access to Employee Assistance Program and wellbeing benefits including skin and health checks, and flu vaccinations Access to salary packaging options Learning and development opportunities, including reimbursement for professional membership or subscription Hybrid and flexible working arrangements, dependent on role Reimbursement for work from home equipment About the Risk Management Group Our Risk Management Group works as an independent, centralised function responsible for independent and objective review and challenge, oversight, monitoring and reporting in relation to Macquarie’s material risks. We are a global team that aims to manage current and future risks across compliance, credit, financial crime risk, market risk, operational risk, aggregate risk and prudential, and central. Our commitment to diversity, equity and inclusion We are committed to fostering a diverse, equitable and inclusive workplace. We encourage people from all backgrounds to apply and welcome all identities. We are happy to discuss adjustments to support you through the recruitment process and working arrangements. If you require additional assistance, please let us know in the application process. Referrals increase your chances of interviewing at Macquarie Group. Get notified about new Quantitative Analyst jobs in Sydney, New South Wales, Australia. Note: This description retains the original job content while improving formatting and readability. #J-18808-Ljbffr