quantitative analyst - market risk in Sydney CBD

posted
contact
david jackson, randstad
job type
permanent
salary
AU$ 120,000 - AU$ 150,000 per year
apply now

job details

posted
location
sydney cbd, new south wales
specialism
banking & financial services
job type
permanent
working hours
Full-Time
salary
AU$ 120,000 - AU$ 150,000 per year
experience
3 years
reference number
90M0378202_1551762884
contact
david jackson, randstad
phone
02 8298 3805
apply now
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job description

This is a great opportunity for an experienced Market Risk Analyst to join my client to assist in the ongoing monitoring and reporting of VAR for their business, and working with the Quant developer to develop their market risk models. As such, the successful candidate will be responsible for:

  • Analysing the Var, backtesting results and provide explanations for breaks and movements
  • Providing independent specialist analysis and validation of pricing models and payoff algorithms
  • Participate in IT projects that involve new systems where new pricing or capital models require validation
  • Use Excel, SQL, Python, C# and C++ skills to write payoffs and build independent validation models
  • Maintain documentation on Model Validation Framework.

To be considered for this role, you will have the following skills/qualifications:

  • Degree in a mathematical discipline e.g. Mathematics, Quantitative Finance, Engineering or Physics.
  • Experience in complex structured pricing including Monte Carlo, Hull & White will be highly regarded however not essential.
  • Excellent experience in programming and database query skills ie C++, C#, Python, SQL and Excel.
  • Strong understanding of financial instruments and their mathematical specification.

To apply for this role please apply through the link below. All CVs will be reviewed within 3 working days.

At Randstad, we are passionate about providing equal employment opportunities and embracing diversity to the benefit of all. We actively encourage applications from any background.

skills

Excel, SQL, Python, C# and C++

qualification

Mathematics, Quantitative Finance, Engineering or Physics

educational requirements

Master's Degree