Company
Location
Sydney - Australia
Job type
Full-Time
Python Job Details
.
Provide energetic stakeholder engagement and analysis within an agile environment
Drive the digital transformation of a leader in the banking industry
Join an organisation that prides itself on diversity of people and thought
About the role
At ANZ our purpose is to shape a world where people and communities thrive. We’re making this happen by improving our customers’ financial wellbeing so they can achieve incredible things – be it buying their home, building a business or saving for things big or small.
Role Location: Sydney CBD
Role Type: Permanent & Fixed-term, Full0Time
Note: 2 opportunities available. The type of role and job level will be determined after the selection process. We will be gauging the candidate’s experience, knowledge, and skills prior to providing the final offer.
The Markets Risk division plays a critical role in identifying and managing a wide range of risks to which the ANZ Markets business is exposed as part of its global operations – from Counterparty Credit and Traded Market Risk to Non-Traded Market Risk. As an integral part of this division, Markets Model Validation (MMV) is tasked with performing independent model validation and actively managing model risk in line with ANZ’s risk appetite.
As a Quantitative Analyst within the Model Validation unit in Sydney, you will focus on developing and maintaining a model validation framework covering all valuation and risk model types and methodologies. This is your opportunity to make a valuable contribution and help drive our business forward in a fast-paced environment.
What will your day look like
Your key accountabilities will include but are not limited to:
Design, model, develop and maintain independent market risk benchmark models
Provide effective challenge to model assumptions, mathematical formulation and implementation
Assess and quantify model risk due to model limitations and determine mitigating factors and controls. Ensure the models are approved to the highest standards and remain fit for purpose.
Communicate clearly and concisely the model review results with all relevant stakeholders including model users and owners as well as regulators and supervisory authorities. Write comprehensive validation reports to reach quantitative specialists as well as senior management at the same time.
Establish a good working culture by keeping an open, collaborative and positive mindset. Be a role model within and outside the validation team. Help embed a great risk culture in ANZ. Ensure all initiatives are undertaken in accordance with established risk and compliance principles and policies.
What will you bring?
To grow and be successful in this role, you will ideally bring the following:
Advanced degree (PhD is a plus) in mathematics, finance, statistics, physics, econometrics or a related discipline.
Strong derivative pricing skills a must (Risk neutral pricing, stochastic calculus, numerical techniques (finite differences, MonteCarlo simulation, binomial/Trinomial Trees, Numerical integration), coding in C++ / Python.
Experience in Market Risk in a quantitative role w/in Front Office or Risk (5 years +). Ideally experience in modelling Interest Rate / Fixed Income would be desirable but all asset classes will be considered.
Ability to find practical solutions to complex problems and communicate quantitative concepts to a wide variety of staff
So, why join us?
We’re reinventing the way we do banking, and our community of collaborative, innovative thinkers who create human-centred solutions are helping us get there. We’re responding faster to changing customer requirements, focusing on the things that matter.
We’ll also offer you the opportunity to develop your career, working in a diverse and inclusive workplace where the different backgrounds, perspectives and life experiences of our people are celebrated and create a great place to grow, thrive and belong.
A happy workplace is a thriving one, and some of the perks you’ll get from being a Manager, Markets Risk Analytics at ANZ are:
Lifestyle leave - top up your annual leave with up to four weeks of additional purchased leave or take a longer period of unpaid time off
Great discounts on our financial products, and an annual Superannuation top up payment of $500 for all female employees to address the Superannuation gender gap
Competitive parental leave policies for both mums and dads, with a lump sum childcare contribution when you return to work
We work flexibly at ANZ and encourage you to talk to us about how this role can be flexible for you and any adjustments you may require to our recruitment process or the role itself. If you are a candidate with a disability, let us know how we can provide you with additional support.
Interested in joining us?
Click Apply Now, or visit www.anz.com/careers to find out more or view other opportunities.
Job Posting End Date
11/11/2022, 11.59pm, (Melbourne Australia)
Provide energetic stakeholder engagement and analysis within an agile environment
Drive the digital transformation of a leader in the banking industry
Join an organisation that prides itself on diversity of people and thought
About the role
At ANZ our purpose is to shape a world where people and communities thrive. We’re making this happen by improving our customers’ financial wellbeing so they can achieve incredible things – be it buying their home, building a business or saving for things big or small.
Role Location: Sydney CBD
Role Type: Permanent & Fixed-term, Full0Time
Note: 2 opportunities available. The type of role and job level will be determined after the selection process. We will be gauging the candidate’s experience, knowledge, and skills prior to providing the final offer.
The Markets Risk division plays a critical role in identifying and managing a wide range of risks to which the ANZ Markets business is exposed as part of its global operations – from Counterparty Credit and Traded Market Risk to Non-Traded Market Risk. As an integral part of this division, Markets Model Validation (MMV) is tasked with performing independent model validation and actively managing model risk in line with ANZ’s risk appetite.
As a Quantitative Analyst within the Model Validation unit in Sydney, you will focus on developing and maintaining a model validation framework covering all valuation and risk model types and methodologies. This is your opportunity to make a valuable contribution and help drive our business forward in a fast-paced environment.
What will your day look like
Your key accountabilities will include but are not limited to:
Design, model, develop and maintain independent market risk benchmark models
Provide effective challenge to model assumptions, mathematical formulation and implementation
Assess and quantify model risk due to model limitations and determine mitigating factors and controls. Ensure the models are approved to the highest standards and remain fit for purpose.
Communicate clearly and concisely the model review results with all relevant stakeholders including model users and owners as well as regulators and supervisory authorities. Write comprehensive validation reports to reach quantitative specialists as well as senior management at the same time.
Establish a good working culture by keeping an open, collaborative and positive mindset. Be a role model within and outside the validation team. Help embed a great risk culture in ANZ. Ensure all initiatives are undertaken in accordance with established risk and compliance principles and policies.
What will you bring?
To grow and be successful in this role, you will ideally bring the following:
Advanced degree (PhD is a plus) in mathematics, finance, statistics, physics, econometrics or a related discipline.
Strong derivative pricing skills a must (Risk neutral pricing, stochastic calculus, numerical techniques (finite differences, MonteCarlo simulation, binomial/Trinomial Trees, Numerical integration), coding in C++ / Python.
Experience in Market Risk in a quantitative role w/in Front Office or Risk (5 years +). Ideally experience in modelling Interest Rate / Fixed Income would be desirable but all asset classes will be considered.
Ability to find practical solutions to complex problems and communicate quantitative concepts to a wide variety of staff
So, why join us?
We’re reinventing the way we do banking, and our community of collaborative, innovative thinkers who create human-centred solutions are helping us get there. We’re responding faster to changing customer requirements, focusing on the things that matter.
We’ll also offer you the opportunity to develop your career, working in a diverse and inclusive workplace where the different backgrounds, perspectives and life experiences of our people are celebrated and create a great place to grow, thrive and belong.
A happy workplace is a thriving one, and some of the perks you’ll get from being a Manager, Markets Risk Analytics at ANZ are:
Lifestyle leave - top up your annual leave with up to four weeks of additional purchased leave or take a longer period of unpaid time off
Great discounts on our financial products, and an annual Superannuation top up payment of $500 for all female employees to address the Superannuation gender gap
Competitive parental leave policies for both mums and dads, with a lump sum childcare contribution when you return to work
We work flexibly at ANZ and encourage you to talk to us about how this role can be flexible for you and any adjustments you may require to our recruitment process or the role itself. If you are a candidate with a disability, let us know how we can provide you with additional support.
Interested in joining us?
Click Apply Now, or visit www.anz.com/careers to find out more or view other opportunities.
Job Posting End Date
11/11/2022, 11.59pm, (Melbourne Australia)
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