Apply: Senior Manager - Market Risk - Model Risk

Reference: BH-180788-4
Multiple roles available! Join a Tier 1 Institution within the Model Risk team.
  • Permanent Opportunity
  • Location: Sydney / Melbourne / Brisbane / open to candidates returning back to Australia
  • Drive real change in this fast-paced role in this high performing team
Role & Responsibility:
  • Product: Derivative Products - FX, IRS, swaps, OTC options, swaptions, etc
  • Build and implement an independent model valuation and new market risk pricing library (in C++)
  • End-to-end integration and testing of market risk models with new Basel 2.5 RIsk Engine build and accreditation.
  • Implement new market risk replacement program and engage with various stakeholders and model owners and developers
  • Market risk data transformation - understand historically simulated revaluated VaR and Expected Shortfall in the context of Basel 2.5/FRTB
Requirements:
  • Tertiary education in Quantitative Finance, Actuarial, Economics, Statistics, Mathematics or Engineering
  • 10+ years of experience of modelling experience (preferably within traded market risk)
  • Experience with Basel 2.5 / Market Risk Replacement / FRTB is highly valued
  • Understanding regulatory expectations in relation to derivatives, i.e. APS111, APS116, APS117,CPS226, APS180
  • Strong problem solving skills
  • Ability to convey complex information to non-technical stakeholders
  • Programming fluency on C++ and R. Experience with Git or other version control software experience.
For further information on this role or to confidentially apply, please contact Valerie Lai on 02 8227 9200 or apply directly via the Apply for this job button. Only WORD FORMAT resumes will be accepted.
Company Background:

Ethos BeathChapman (EBC) is a global group of executive recruitment experts in Australia, Asia and EMEA, with a broader network beyond. We connect exceptional people to exceptional companies.

EBC’s mid-sized agility and solutions-focused approach enables us to flex where traditional recruitment agencies have failed, and scale beyond the reach of boutiques. Our multidisciplinary expertise covers corporate and specialised functions across Finance, Technology, Commerce and Government recruitment markets, among others.

Established 2005 in Sydney, EBC today has six offices worldwide in Australia, Singapore, Hong Kong, Japan, Netherlands and the UK. Part of the Nikkei-listed Will Group, Inc, we own Quay Appointments and our staffing and managed solutions specialists, CONNECT.

Let’s connect, and make exceptional happen, together: www.ethosbc.com

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