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Analyst/Senior Analyst/Manager - Counterparty Credit Risk Model Development

Macquarie Group
London, United Kingdom
Closing date
Mar 26, 2023

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Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Credit Risk assesses the credit risk on lending and trading transactions. It allocates credit limits for counterparties and countries, develops procedures for measuring credit exposures and reviews the adequacy of legal documentation. This role is an Analyst/Senior Analyst/Manager level role within the Credit Systems and Models team within Credit. This team is responsible for all aspects relating to the measurement and provisioning of credit exposure including counterparty credit risk (CCR) exposure measurement and methodology. This role requires an individual with a strong analytical approach who has excellent interpersonal and communication skills given the cross-functional interaction required with front office, quant and technology teams.

About the Role
  • Improving existing and developing new CCR risk factor evolution (RFE) models
  • Calibrating RFE models and reviewing calibrated parameters
  • Developing processes and tools to monitor CCR model performance, analysing their output and preparing reports for stakeholders
  • Providing training in the use of the models to team members responsible for quarterly operational processes
  • Maintaining relationships and communicating clearly with stakeholders

About You
  • Strong academic qualification (e.g. honours or postgraduate) in a quantitative discipline (e.g. quantitative finance, mathematics, statistics, physics, engineering)
  • 2+ years of experience in financial services, preferably including some previous experience developing/validating CCR models
  • Knowledge of financial market derivative product pricing and key risk factors
  • Some understanding of physical commodity markets would be beneficial
  • Good knowledge of numerical methods, stochastic calculus, and probability theory
  • Excellent programming skills (R, Python); lower level languages (e.g. C++, Java) also beneficial
  • Excellent written and verbal communication skills and the ability to effectively tailor communications to a diverse range of business and technical stakeholders
  • Tenacity and flexibility with the ability to work autonomously as well as collaboratively within a team of specialists and to manage a number of activities simultaneously

Please note, this role is based in Sydney. If you are applying from another location, you will be required to relocate to Sydney if you are successful.

About the Risk Management Group

The Risk Management Group (RMG) is an independent, centralised unit responsible for ensuring all risk across Macquarie are appropriately assessed and managed. Its divisions include Behavioural Risk, Compliance, Credit, Financial Crime Risk, Internal Audit, Market Risk, Operational Risk, Regulatory Affairs and Aggregate Risk, and RMG Enterprise Support.

Our commitment to Diversity, Equity and Inclusion

The diversity of our people is one of our greatest strengths. An inclusive and equitable environment enables us to deliver innovative and sustainable outcomes for our people, clients, shareholders and communities. From day one, you'll be encouraged to be yourself and supported to perform at your best. If our purpose of 'empowering people to innovate and invest for a better future' is as inspiring to you as it is to us, please apply. With the right technology, support and resources, our people can work in a range of flexible ways.

We are committed to providing a working environment that embraces and values diversity, equity and inclusion. We encourage candidates to speak with a member of our recruitment team if you require adjustments to our recruitment process to support you, and the type of working arrangements that would help you thrive.

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