Senior Quant Analyst - Counterparty Risk & XVA

Westpac Group; Sydney; Hybrid; AUD 180,000 - 240,000; Full time

Benefits offered by this job

Flexible work arrangements

Learning and development opportunities

Employee mortgage rate benefits

Job summary

Westpac Group in Sydney, Australia, is seeking a Senior Quantitative Analyst specialized in Counterparty Credit Risk to join a front-office quantitative team. You will help develop and refine models, analytics and risk capabilities for markets, treasury and commodities, working with trading, risk and tech teams to deliver practical, scalable solutions.

The role involves enhancing the counterparty credit risk platform, exposure modelling, and CVA work within a fast-moving financial markets

Qualifications

• Strong knowledge of counterparty credit risk or XVA, including derivatives pricing, risk factor modelling, exposure profiles and CVA modelling.
• Experience configuring and testing mark-to-market models, generating simulation scenarios and supporting models through independent assessment.
• Proficiency in at least one language such as C++, R or Python.
• Methodical approach to model testing, technical documentation and process management.
• Strong communication, collaboration and time-management skills.

Responsibilities

• Deliver models, analytics and risk capabilities to support Financial Markets, Treasury and Commodities.
• Collaborate with trading, risk and technology teams to develop new capabilities and support product introductions.
• Contribute to major initiatives and enhancements of the counterparty credit risk platform.
• Provide practical quantitative solutions that assist business decision-making.

Skills

Counterparty credit risk

XVA

C++

Python

R

Derivatives pricing

CVA modelling

Job description

Westpac Group in Sydney, Australia, is seeking a Senior Quantitative Analyst specialized in Counterparty Credit Risk to join a front-office quantitative team. You will help develop and refine models, analytics and risk capabilities for markets, treasury and commodities, working with trading, risk and tech teams to deliver practical, scalable solutions.

The role involves enhancing the counterparty credit risk platform, exposure modelling, and CVA work within a fast-moving financial markets