My client is a leading Financial Services organisation recruiting for a Senior Quantitative Analyst
across Markets.
Sydney is a preferable location but can consider Melbourne or Brisbane.
Duties:-
Review and challenge pricing and risk methodologies across interest rate, FX and commodities portfolios
Provide independent oversight across trading and balance sheet models
Assess capital and risk measurement approaches in a prudentially regulated environment
Design and enhance quantitative tools used to support model review activities
Partner closely with front office, treasury and risk teams on key initiatives
Deliver clear, commercially focused recommendations to senior stakeholders
Requirements:-
4yrs+ years’ experience in financial markets quantitative or model risk roles
Understanding of APRA regulatory standards (APS111, APS116, APS117, CPS226, APS180)
Build or validation across Market Models / FM, counterpart credit risk, derivatives, FX, VAR model traced and non-traded market risk, initial margin. You don't need to be across all of this
Strong knowledge of derivative pricing across linear and optional products
Exposure to interest rate risk in the banking book and broader balance sheet risk concepts Familiarity with regulatory capital or prudential standards within banking
Programming capability in C++, R, Python or similar
The ability to confidently articulate technical findings to non-technical audiences
MUST have PR or Citizenship for Australia.
Please email me on rupinderk@ethosbc.com.au if you feel you have the relevant experience.
