Manager, Model Risk
Manager, Model Risk
Get set for your next great career move.
How will I help?
- Based in Sydney CBD
- Brand new role
- Make an enterprise-wide impact
This is a new opportunity in the Risk division where you will be involved in the independent validation activity covering derivative pricing and risk models across rates, foreign exchange, energy, commodity and equity markets. You will also engage in the validation activity associated with Interest Rate in the Banking Book (IRRBB) modelling. This will include extensive engagement with model owners and developers, internal committees, working groups and project teams to deliver the validation activity to a high quality and in a timely fashion.
Responsible for ensuring the scope of independent validation appropriately challenges a model's scope of
application, methodology, implementation, data used and its documentation as well as presenting validation outcomes to management, model owners and developers. What's in it for me?
You will build your profile internally and externally with stakeholders and be part of the future of a business that has been around for 200 years and whose vision is becoming the world's best service company.
You'll be working for an organisation that supports development, internal career moves and flexible working. Along with competitive salary, you'll receive Westpac's generous benefits and a whole array of customer discounts. Being an integral part of the Westpac Group, you will constantly be challenging the status quo and deliver high quality customer outcomes. What do I need?
Along with an excellent tertiary qualification in mathematics, actuarial, statistics or other related quantitative
discipline., we are looking for: At least 8 years' experience within a financial market quantitative team with a thorough
understanding of financial markets derivatives, such as IRS, XCCY swaps, OTC options, swaptions, etc.
covering a range of asset classes (IR, FX, commodities, energy, equities) Knowledge and experience building or testing derivative pricing models such as Hull White,
Stochastic volatility, SABR, LMM, BGM, jump-diffusion, etc. Understanding of financial mathematics and numerical techniques used to implement models, such as Monte Carlo simulations, finite difference methods, binomial and trinomial trees, etc. Understanding of the associated accounting and regulatory expectations. Knowledge of IRRBB
models is a plus. Excellent written and inter-personal communication skills, particularly the ability to explain
complicated issues in an efficient and effective manner. Excellent time management skills, with the ability to work to tight deadlines and deal with changing priorities. Programming fluency (e.g. R, Python, C/C /C# or equivalent). Experience with Git or other version control software experience is desirable.
What is it like to work there?
- Experience using front office and risk systems like Murex, Calypso, Algorithmics RiskWatch and Real Time Credit Engine
At the Westpac Group, we have a vision to be one of the world's great service companies - this means helping our people, customers and communities to prosper and grow. We aim to be leaders in diversity, flexibility and as an equal opportunity employer.
You will join one big, supportive team and working with us you'll discover new ways of working, and an exciting range of roles to showcase your skills. As an equal opportunity employer, we're proud to have created a culture where people can be their best, in an environment that values diversity and flexibility. And one where everyone belongs. How do I Apply?
Start here. Just click on the APPLY