Unfortunately Macquarie has archived this job posting, they are no longer
accepting
applications.
Currently we're investigating a bug where the answers are not recorded properly. If you encounter this bug,
please email us at
rfqjobs@gmail.com.
(more about Macquarie)
Fundamental Review of Trading Book- Associate Director/Division Director
Do you have experience with APS116 and/or the Fundamental Review of the Trading Book (FRTB)? Have you lead or been involved in leading a technical team including quantitative analysts in delivering a large technical project? Join as the team leader for the Market Risk Quantitative Models team within a renowned Australian investment bank and build this bank’s new FRTB IMA market risk capital calculation engine.
You will be responsible for:
- Scoping the required work for the FRTB internal model approach (IMA) component of the bank’s FRTB capital calculation engine.
- Ensuring compliance with the upcoming revisions to APS 116 Capital Adequacy: Market Risk rules.
- Leading and developing an established team of quantitative analysts in building the bank’s IMA model.
- Leading an established team of quantitative analysts in maintaining the current VaR capital calculation engine.
- Working with key stakeholders to explain capital results using the new calculation engine and other risk metrics to senior management.
- Engaging with key stakeholders to ensure the project remains on track.
- Assessing and communicating the impact on market risk capital of new products and trading strategies.
Sitting within Market Risk this role provides a unique opportunity within the Australian financial industry to work with a leading team of experienced quantitative analysts, regulatory subject matter experts, and Market Risk industry experts who manage risk across a globally diverse set of trading products.
Your excellent written and verbal communication skills will help you communicate ideas succinctly to both technical and non-technical stakeholders at all levels. Your expert knowledge of APS 116 and FRTB, as well as derivative pricing and validation methodologies will be highly valued. Lastly, you should have excellent academic qualifications, ideally in a finance or a quantitative discipline.
If this sounds like the right opportunity to further build your career in finance then please apply.
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.