What role will you play?
As an Analyst in the Counterparty Credit Risk Modelling and Analytics team, you will initially be involved in exposure management, ensuring that trading activity is within Credit appetite and aligned to our modelled exposure calculations. You will support Line 1 (i.e. Front Office) as well as Line 2 (Risk Management Group) queries relating to counterparty credit risk for a range of products (FX, commodities, Interest Rate, Futures etc). In time, there will be opportunity to learn to make improvements to existing counterparty credit risk processes and in developing new models’ methodologies and tools to ensure compliance with internal and regulatory requirements. This role provides an opportunity to get exposure to calibrating risk factor evolution model parameters for newly traded assets. You will maintain and develop processes and tools designed to monitor model performance, analyse model output and prepare reports for stakeholders, and reduce the use of legacy non-simulation-based models. In addition, you will ensure comprehensive and current documentation exists across all counterparty credit risk processes and systems.What you offer
- Strong academic qualifications in a quantitative subject (e.g., Actuarial Studies, Financial Mathematics, Master’s, or PhD)
- 2+ years of experience in financial services, preferably in investment banking or trading systems support
- Experience developing/validating CCR models and understanding CCR and the economic, regulatory and market environments in which Banks operate
- Knowledge of financial market products, market conventions and regulatory requirements, with some knowledge and understanding of physical commodity markets
- Good knowledge of numerical methods, stochastic calculus, and probability theory with excellent programming skills (R, Python and C++ programming).
We love hearing from anyone inspired to build a better future with us, if you're excited about the role or working at Macquarie we encourage you to apply.
What we offer
At Macquarie, you’re empowered to shape a career that’s rewarding in all the ways that matter most to you. Macquarie employees can access a wide range of benefits which, depending on employment type, include:- 1 wellbeing leave day per year
- Up to 5 additional service bonus leave days per year
- Up to 20 weeks’ paid parental leave for primary caregivers along with 12 days of transition leave upon return to work, and 6 weeks’ paid leave for non-primary caregivers
- 2 days of paid volunteer leave and donation matching
- Up to 12 months’ gender affirmation leave, including 6 weeks’ paid leave
- Access to Employee Assistance Program and wellbeing benefits including skin and health checks, and flu vaccinations
- Access to a wide range of salary packaging options
- Access to a wide range of learning and development opportunities, including reimbursement for professional membership or subscription
- Hybrid and flexible working arrangements, dependent on role
- Reimbursement for work from home equipment
About the Risk Management Group
Our Risk Management Group works as an independent, and centralised function, responsible for independent and objective review and challenge, oversight, monitoring and reporting in relation to Macquarie’s material risks. We are a global team that aims to manage the risks of today and anticipate the risks of tomorrow. Our divisions include compliance, credit, financial crime risk, market risk, operational risk, aggregate risk and prudential, and central.Inclusion at Macquarie
We are committed to providing an inclusive environment for all, where different experiences, skills and perspectives are valued and respected. Macquarie provides access to opportunities for all individuals regardless of race, colour, religion, sex, sexual orientation, national origin, age, disability, protected veteran status, genetic information, marital status, gender identity or any other characteristic or circumstance.
We provide reasonable adjustments to individuals who may need support during the recruitment process and employment. If you require an adjustment, please let us know during the application process.