Senior Manager, Model Risk - Markets

Westpac

Sydney, NSW
Permanent
Full-time

1 month ago

Job Description:

Permanent opportunity to join the Risk Analytics and Insights Team
Flexible Hybrid working environment
Open to any location across Australia

How will I help?In The Model Risk team is responsible for the independent validation of all models across Westpac Group as well as other model risk management activities. The team and its members have received a number of awards including Risk Team of the Year in recognition of its high-performance culture.In this role you will be involved in the independent validation activity covering derivative pricing and risk models across rates, foreign exchange, commodity, and equity markets. You will also engage in the validation activity associated with a number of critical projects. This will include extensive engagement with model owners and developers and project teams to deliver the validation activity to a high quality and in a timely fashion.Key responsibilities include:

Contribute to building an independent model valuation and risk library (in C++)
Validation of models used for pricing and risk in Financial Markets & Treasury
Assistance in the implementation of new products into risk systems.
Development and enhancement of independent models used for validation.
Present validation outcomes to management, model owners and developers.

What's in it for me?You'll play a significant part of the future of a business that has been around for 200 years. Our purpose is to create better futures together. So, we'll back you in the development of your career, internal career prospects, and flexible working. You'll also keep learning to grown, backed by a fantastic team of people with a can-do, supportive structure. Whatever shape your family takes, we offer generous paid and unpaid parental leave for your nominated primary and support carers. This includes leave to organise adoptions, surrogacy, and foster care arrangements. And we continue to pay your super contributions while you take all the time you need to get your new family settledWhat do I need?

At least 10 years' experience within a financial market quantitative team
In depth knowledge of financial markets derivative models, including linear derivatives (e.g.swaps, futures, CDS) and nonlinear derivatives ((e.g. options, swaptions, exotics)
Knowledge of FRTB requirements and ability to replicate capital calculations
Ability to challenge derivative valuation and risk models
Understanding regulatory expectations in relation to derivatives, i.e. APS111, APS116, APS117, CPS226, APS180
A Tertiary qualification in a quantitative discipline
Excellent written and inter-personal communication skills, particularly the ability to explain complicated issues in an efficient and effective manner. You should have demonstrated an ability to communicate with influence.
Ability to work independently and in a team and excellent time management skills, with the ability to work to tight deadlines and deal with changing priorities.
Programming fluency on C++ and R. Experience with Git or other version control software experience.
Experience using front office and risk systems like Murex, Calypso, Algorithmics RiskWatch and Real Time Credit Engine, is an advantage.

What is it like to work there?We aim to provide one big, supportive team to help us achieve our purpose of creating better futures together. As well as competitive remuneration and a great culture, joining the Westpac family means you will get some of the best banking, wealth and insurance benefits in the market.We back our employees by helping them work towards industry-recognised qualifications, using online learning, training modules and career planning tools for you to grow with us. We will even pay you to do volunteer or community work.As an equal opportunity employer, we are proud to have created a culture and work environment that values diversity and flexibility - and champions inclusion.How do I apply?Start here. Just click on the APPLY or APPLY NOW button.At Westpac we are committed to providing a supportive culture and creating diverse, inclusive, and accessible workplaces, branches, products and services for our customers, employees, and community. This role is open to experienced candidates seeking a discussion around workplace flexibility. We invite candidates of all ages, genders, sexual orientation, cultural backgrounds, people with disability, neurodiverse individuals, and Indigenous Australians to apply. If you have questions about the recruitment process, please email talentacquisition@westpac.com.au.Do you need reasonable adjustments during the recruitment process?
We can provide reasonable adjustments for individuals with disability and/or neurodiversity. If you require an adjustment to be made during the recruitment process at any stage, please call 1800 655 592 Option 2.3 or email talentacquisition@westpac.com.au

Westpac

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