Quantitative Analyst, Pricing Risk Model Validation

Macquarie Group; Indonesia; Hybrid; IDR 300,000,000 - 600,000,000; Full time

Job summary

Macquarie Group is seeking a quantified professional to validate models supporting pricing and risk across trading activities within the Model Risk Management team. You will apply quantitative skills to analyse derivative pricing, curve bootstrapping, and risk methodologies, communicating findings to stakeholders to inform decisions.

The role requires three days per week in the advertised location, with hybrid work arrangements for the rest.

Responsibilities

• Validate models used for pricing and risk across trading activities.
• Communicate findings to stakeholders to support informed decisions.
• Collaborate with the Model Risk Management team to build modelling capabilities across projects.

Job description

In this role, you validate the models that support pricing and risk management across a wide range of trading activities, working within the Model Risk Management team in the Risk Management Group. You draw on your quantitative skills to analyse complex models, from derivative pricing across multiple asset classes to curve bootstrapping and risk methodologies such as valuation adjustments, counterparty credit risk and market risk. You work closely with stakeholders to understand the models they use, communicate findings clearly and contribute to informed decision making. You also collaborate with colleagues across the team, building your modelling capability through cross skilling and exposure to diverse projects, and apply a variety of analytic and programming techniques to recreate, test and challenge models in a structured and rigorous way.

While Macquarie offers hybrid working for many of our roles, this role does require three days a week in our advertised location.

In this role, you validate the models that support pricing and risk management across a wide range of trading activities, working within the Model Risk Management team in the Risk Management Group. You draw on your quantitative skills to analyse complex models, from derivative pricing across multiple asset classes to curve bootstrapping and risk methodologies such as valuation adjustments, counterparty credit risk and market risk. You work closely with stakeholders to understand the models they use, communicate findings clearly and contribute to informed decision making. You also collaborate with colleagues across the team, building your modelling capability through cross skilling and exposure to diverse projects, and apply a variety of analytic and programming techniques to recreate, test and challenge models in a structured and rigorous way.

While Macquarie offers hybrid working for many of our roles, this role does require three days a week in our advertised location.