manager, market risk in Sydney CBD

darren ruane, randstad
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sydney cbd, new south wales
banking & financial services
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darren ruane, randstad
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job description

The Role:

In this role you will be involved in the independent validation activity covering derivative pricing and risk models across rates, foreign exchange, energy, commodity and equity markets. You will also engage in the validation activity associated with Interest Rate in the Banking Book (IRRBB) modelling. This will include extensive engagement with model owners and developers, internal committees, working groups and project teams to deliver the validation activity to a high quality and in a timely fashion.

Responsible for:

  • Ability to manage and take ownership of projects
  • Ability to manage and coach more junior team members
  • Ensuring the scope of independent validation appropriately challenges a model’s scope of application, methodology, implementation, data used and its documentation;
  • Ensure adherence to internal and external policies
  • Present validation outcomes to management, model owners and developers

Skills Needed:

  • At least 8 years’ experience within a financial market quantitative team with a thorough understanding of financial markets derivatives, such as IRS, XCCY swaps, OTC options, swaptions, etc. covering a range of asset classes (IR, FX, commodities, energy, equities)
  • Knowledge and experience building or testing derivative pricing models such as Hull White, Stochastic volatility, SABR, LMM, BGM, jump-diffusion, etc
  • Understanding of financial mathematics and numerical techniques used to implement models, such as Monte Carlo simulations, finite difference methods, binomial and trinomial trees, etc. –
  • Understanding of the associated accounting and regulatory expectations. Knowledge of IRRBB models is a plus
  • An excellent tertiary qualification in mathematics, actuarial, statistics or other related quantitative discipline
  • Excellent written and inter-personal communication skills, particularly the ability to explain complicated issues in an efficient and effective manner
  • Excellent time management skills, with the ability to work to tight deadlines and deal with changing priorities. - Programming fluency (e.g. R, Python, C/C++/C# or equivalent). Experience with Git or other version control software experience is desirable
  • Experience using front office and risk systems like Murex, Calypso, Algorithmics RiskWatch and Real Time Credit Engine

For more information please contact Darren Ruane on Darren.ruane@randstad





educational requirements

Master's Degree