06 Sep, 2021

Manager, Market Risk Model Validation (Daily-Rate Contract)

  • Admin
  • Remote
Contract Financial Services Management

Job Description

  • Manage and take ownership of projects
  • Manage and coach more junior team members
  • Ensure the scope of independent validation appropriately challenges a model's scope of application, methodology, implementation, data used and its documentation;
  • Ensure adherence to internal and external policies;
  • Present validation outcomes to management, model owners and developers

Skills and Experience Required:

  • Excellent tertiary qualification in an applied mathematical field
  • At least 5 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
  • Understanding of financial mathematics and numerical techniques used to implement models, such as Monte Carlo simulations, finite difference methods, binomial and trinomial trees, etc.
  • Proficiency in a programming language i.e. SAS, R, Python or equivalent
  • Experience with Git or other version control software experience is desirable.

For more information on this role please contact Olivia on 0409 356 856 or simply click APPLY.

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Remote Status

100% Remote | Work From Home

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