Manager - Financial Risk Modelling

Reserve Bank of Australia; Sydney; On-site; AUD 180,000 - 240,000; Full time

Job summary

Reserve Bank of Australia in Sydney is seeking a Manager in FMPR to lead development of financial risk modelling within FMPR, informing policy advice and risk implications of design options. You will shape modelling direction, support stress testing and scenario analysis, and mentor analysts in a dynamic environment.

You will collaborate with senior executives and Boards to ensure robust risk quantification and reporting, contributing to the Bank's risk-aware policy development.

Qualifications

• Robust quantitative skills, preferably with a strong familiarity with value-at-risk and/or expected shortfall modelling.
• Strong background in financial markets.
• Good understanding of policy context for the Bank's financial market operations.
• Working knowledge of linkages between domestic and international market operations and the balance sheet.
• Familiarity with risk and compliance management frameworks.
• Highly effective influencing and communication skills.

Responsibilities

• Review and uplift maturity of risk modelling tools, processes and controls in line with policy.
• Extend existing risk models to support stress testing across scenarios.
• Develop longer-term plans for uplifting FMG's risk quantification capabilities.
• Coordinate monitoring and reporting of risk metrics to senior management.
• Liaise with stakeholders across the Bank on risk quantification issues.
• Conduct and oversee analysis of financial risks across the Bank's portfolio.
• Contribute to leadership of FMPR and mentor analysts.

Skills

Quantitative skills

VaR modelling

Expected shortfall modelling

Financial markets background

R programming

Policy context understanding

Influencing & communication

Tools

R

Job description

The team

Financial Markets Group (FMG) is responsible for implementing the Reserve Bank's operations in domestic and foreign exchange markets, monitoring developments in financial markets and coordinating the Bank's relationships with international institutions. FMG is establishing a new manager role in its Financial Markets Portfolio Risk (FMPR) team, reporting to the Senior Manager, FMPR, to lead work on quantification of financial risks. This new role will support the ongoing uplift in the Reserve Bank's financial risk management to support robust consideration of risks in policy advice, including in crisis scenarios.

The role

As a Manager in FMPR, you will lead the development of financial risk modelling capability within FMPR that supports the quantification of financial risks on the Bank's balance sheet. This work will inform ongoing monitoring of financial risks and the provision of advice on risk implications of policy design and implementation options to stakeholders in Financial Markets Group, senior executives and the Monetary Policy and Governance Boards. This manager role will give you an opportunity help shape the direction of financial risk modelling, stress testing and scenario analysis, have an impact on policy development and implementation and provide an opportunity to build your leadership capabilities in a dynamic work environment.

Key responsibilities

• Review and uplift maturity of risk modelling tools, processes and controls in line with the Reserve Bank's Model Risk Management Policy and coding governance standards, including to implement and maintain robust model and data validation processes
• Review and implement extensions to existing risk models to support stress testing across a broader range of scenarios
• Develop and implement longer-term plans for uplifting FMG's risk quantification capabilities
• Coordinate the monitoring and reporting of risk metrics to senior management and Line 2 risk
• Liaise with stakeholders across the Bank on financial risk quantification issues
• Conduct and oversee analysis of financial risks across the Bank's portfolio
• Contribute to the overall leadership of FMPR
• Provide leadership, guidance and mentoring to analysts, as required

What are we looking for?

We are looking for a thoughtful and collaborative leader to join the FMPR leadership team, with a track record of delivering complex work, building capability in others and influencing outcomes across a broad range of stakeholders.

Given the nature of this role, you will need to have:

• Robust quantitative skills, preferably with a strong familiarity with value-at-risk and/or expected shortfall modelling
• A strong background in financial markets
• A good understanding of the policy context for the Bank's financial market operations
• A good working knowledge of linkages between the Bank's domestic and international market operations and our balance sheet
• Familiarity with business coding best practice, with strong working knowledge of R preferable
• Familiarity with risk and compliance management frameworks
• Highly effective influencing and communication skills

Be More

Working for an organisation that truly makes a difference to the people of Australia, we can offer development and career opportunities in a collaborative environment that supports your growth, wellbeing and promotes flexibility. Your individual growth and success drives the RBA forward as an organisation. Be more means you can do more, for yourself and for Australia.

Why RBA

The RBA makes an important contribution to the Australian economy through the pursuit of national economic policy objectives and associated activities in financial markets and banking. We also issue Australia's banknotes and operate infrastructure critical to the payments system, all of which contribute to the welfare of the Australian people.

Made up of specialists across a wide range of fields, our people, values, and culture play a critical role in achieving our objectives. Striving to be Open & Dynamic, we consider and incorporate different perspectives, work across teams and are transparent with each other, whilst delivering quality together effectively and focusing on outcomes by prioritising, testing, learning, and refining as we go.

Our people conduct themselves with a high degree of integrity, while striving for excellence in the work they perform and the outcomes they achieve. We encourage intelligent inquiry and we treat one another with respect while promoting the public interest through our efforts. We know it is the growth and success of our people that drives the RBA forward.

Come and make a bigger contribution while you build and develop your own skills too, because being more means you can do more, for yourself and for Australia.

The Reserve Bank of Australia is committed to equity, diversity and inclusion through key initiatives. We welcome and encourage applicants from diverse backgrounds to apply, including Aboriginal and Torres Strait Islander peoples, culturally and linguistically diverse background, those living with a disability and from the LGBTQ+ community. We are committed to making the recruitment process fair and equitable for all our candidates.