Lead, Market Risk Model Validation & Analytics

Bluefin Resources; Sydney; Hybrid; AUD 130,000 - 180,000; Full time

Job summary

Bluefin Resources is assisting a major Australian bank to recruit a Quantitative Market Risk professional for its independent validation team in Sydney. The role focuses on validation of models across rates, FX, energy, commodities, XVA, IRRBB and equity markets.

The incumbent will engage with model owners, developers, committees and project teams to deliver high-quality validation outputs in a timely manner.

Qualifications

• Excellent tertiary qualifications in an Applied Mathematical discipline (e.g., Actuarial, Physics, Engineering).
• At least 3 years' experience within a Quantitative team with exposure to Market Risk.
• Technical proficiency in R, Python, C++ or equivalent.

Responsibilities

• Validate quantitative models used for pricing and risk in Financial Markets and Treasury, including interest rate risk in the banking book modelling.
• Ensure the scope of independent validation challenges a model’s scope of application, methodology, implementation, data used and its documentation.
• Ensure adherence to internal and external policies.

Skills

Market risk

Education

Applied mathematics/Actuarial/Physics/Engineering degree

Tools

R

Python

C++

Job description

Bluefin Resources is assisting a major Australian bank to recruit a Quantitative Market Risk professional for its independent validation team in Sydney. The role focuses on validation of models across rates, FX, energy, commodities, XVA, IRRBB and equity markets.

The incumbent will engage with model owners, developers, committees and project teams to deliver high-quality validation outputs in a timely manner.