Senior Market Risk Models Manager, Sydney

Recruiter
KPP Search
Location
Sydney, Australia
Salary
A$170k -A$200k
Posted
16 Mar 2023
Closes
15 Apr 2023
Ref
DS567
Job Type
Analytics, Business Intelligence, Data Analytics, Risk, Risk Advisory, Risk Analysis, Risk Management
Employer Sector
Financial Services
Contract Type
Permanent
Hours
Full Time

The successful candidate will be an SME in modelling data for capital and market risk. The goal being to design and build models for the FRTBusing the IMA approach (Internal Models Approach).

Responsibilities

  • Using your quantitative modelling experience, to apply different build models for FRTB capital calculation.
  • To support the embedment of the FRTB model implementation.
  • Partner with senior stakeholders, across market risk, treasury, quantitative modelling, prudential risk and the projects team to deliver this large piece of work.
  • Evaluate current capital models and provide expert suggestions and guidance on the design, build and execution of those models.
  • Stay up to date with current and relevant regulatory standards that impact the project.


Requirements

  • Previous market risk modelling or capital risk modelling experience is critical.
  • Trading book modelling experience is critical.
  • An understanding of key regulatory standards such as APS 116 & how to apply its use in modelling for the internal model approach for FRTB calculation is necessary.
  • You must be comfortable with programming languages, Python is ideal, C++ or Java also useful.

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