Manager, Financial Risk Modelling & Stress Testing

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

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.