Manager/Senior Manager | Credit Modelling – Counterparty Credit Risk
Macquarie Group · Sydney, Australia · 8h ago
SeniorOn-siteRisk & Compliance
Join our Credit Modelling team in the Counterparty Credit Risk function, and be responsible for aspects relating to the counterparty credit risk exposure measurement and methodology for the Commodity Markets and Finance division.
We are a global financial services group operating in 30 markets with 57 years of unbroken profitability. At Macquarie, you’re empowered to shape a career that is fulfilling and creates value. You will bring your insights and expertise to the task at hand and feel supported as you make your own kind of impact for a better future.
As a senior team member, you will enhance existing counterparty credit risk (CCR) models and contribute to the development of new modelling methodologies and tools that meet both internal and regulatory requirements. You will calibrate risk factor evolution model parameters for newly traded assets and for those not yet incorporated into the CCR system. You will be responsible for maintaining and developing processes and tools to monitor CCR model performance, analysing model outputs, and preparing high-quality reports for stakeholders. You will also coach and support the development of junior team members.
In addition, you will also support the transition away from legacy non simulation-based models by onboarding additional assets and products into the primary CCR model, as well as supporting Commodity Markets and Finance Front Office and Credit queries relating to CCR models.
- Advanced degree in a quantitative discipline (e.g., Mathematics/Statistics, Actuarial, Engineering, Computer Science)
- 6+ years of experience in financial services, preferably in investment banking or trading systems support
- Experience developing/validating CCR models and understanding CCR and the economic, regulatory and market environments in which Banks operate
- Knowledge of financial market products, market conventions and regulatory requirements
- Strong knowledge and understanding of commodity markets
- Good knowledge of numerical methods, stochastic calculus, and probability theory
- Strong communication skills (verbal and written English) and excellent stakeholder management skills
- Strong programming skills (Python, C++, R).
We love hearing from anyone inspired to build a better future with us, if you're excited about the role or working at Macquarie we encourage you to apply.
At Macquarie, you’re empowered to shape a career that’s rewarding in all the ways that matter most to you. Macquarie employees can access a wide range of benefits which, depending on employment type, include:- 1 wellbeing leave day per year
- Up to 5 additional service bonus leave days per year
- Up to 20 weeks’ paid parental leave for primary caregivers along with 12 days of transition leave upon return to work, and 6 weeks’ paid leave for non-primary caregivers
- 2 days of paid volunteer leave and donation matching
- Up to 12 months’ gender affirmation leave, including 6 weeks’ paid leave
- Access to Employee Assistance Program and wellbeing benefits including skin and health checks, and flu vaccinations
- Access to a wide range of salary packaging options
- Access to a wide range of learning and development opportunities, including reimbursement for professional membership or subscription
- Hybrid and flexible working arrangements, dependent on role
- Reimbursement for work from home equipment
Our Risk Management Group works as an independent, and centralised function, responsible for independent and objective review and challenge, oversight, monitoring and reporting in relation to Macquarie’s material risks. We are a global team that aims to manage the risks of today and anticipate the risks of tomorrow. Our divisions include compliance, credit, financial crime risk, market risk, operational risk, aggregate risk and prudential, and central.
We are committed to providing an inclusive environment for all, where different experiences, skills and perspectives are valued and respected. Macquarie provides access to opportunities for all individuals regardless of race, colour, religion, sex, sexual orientation, national origin, age, disability, protected veteran status, genetic information, marital status, gender identity or any other characteristic or circumstance.
We provide reasonable adjustments to individuals who may need support during the recruitment process and employment. If you require an adjustment, please let us know during the application process.