Credit- Credit Systems and Models, Senior Analyst/Manager

Job Description

The Risk Management Group’s Credit division 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 a 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

Broadly, the role will be to assist in ensuring derivatives and securities financing deals and associated rates are correctly mapped from source systems to the CCR system and in modelling CCR exposure.  Responsibilities include:

  • Investigating, and fixing causes of mark-to-market differences between source systems and the CCR system
  • Investigating, and fixing causes of deals or rates unable to be mapped from source systems to the CCR system
  • Working with business aligned quant and technology teams to onboard new product to the CCR system in a timely manner
  • Calibrating risk factor evolution (RFE) model parameters for newly traded assets and assets not yet modelled in the CCR system
  • Reviewing RFE model parameters on a regular basis
  • Reviewing model performance as assessed by backtesting and investigating and remediating cases of poor performance
  • Making improvements to existing CCR models and assisting to develop new models as required
  • Clearly documenting new and changed deals/rates mapping and CCR calibration and modelling
  • Maintaining relationships and communicating clearly with stakeholders

 

About You

In addition to a sound understanding of financial markets and strong mathematical or statistics skills, you will ideally also have:

  • Experience in financial services, preferably in investment banking or trading systems support
  • A bachelor level or higher degree in a quantitative discipline: finance, mathematics, statistics, commerce or engineering
  • A good working knowledge of derivative pricing and CCR calculations
  • Some knowledge and understanding of physical commodity markets
  • Excellent written and verbal communication skills and the ability to effectively tailor communications to a diverse range of business and technical stakeholders
  • High attention to detail
  • Good organisation skills with the ability to work towards and meet deadlines
  • Tenacity and flexibility with the ability to work autonomously and to manage a number of activities simultaneously
  • Software skills such as Python, C++, Java, or R are good to have

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.