Administrator
Administrator
Posts: 1968
Joined: Nov 1999
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Tue Feb 09, 10 11:03 AM
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Sydney - Head of Quantitative Market Risk Management - circa AU$250,000 + bonuses
The role
The Quantitative Market Risk Department has responsibility for the development of risk measurement models for all market risks. The purpose of this role is to: (a) Lead the methodological development of the Bank’s approach to calculating market risks and (b) lead the market risk quantitative analytics team who oversee the methodological development of proprietary risk engines (at the portfolio level) and pricing model development and maintenance.
Key Competencies:
Leadership of or significant contribution to the methodological development and maintenance of proprietary risk engines;
Leadership skills evidenced through retention rates and coaching ability.
Ability to quickly establish rapport and have a facilitative and collaborative approach with peers across the organisation.
Advanced knowledge of statistical methods and time series analysis;
Advanced knowledge of derivatives pricing (including credit derivatives) Advanced programming skills in a matrix-based language and statistical software;
Expert in working with large data sets, including interacting with databases;
The Person
Strong academic record in a numerate discipline, such as Mathematical Statistics / Econometric Theory, Engineering, Physics, Mathematics at PhD level;
Significant experience in a quantitative role including significant experience in financial markets market risks,
Experience in dealing with senior management and regulatory authorities.
Demonstrable experience of leadership
Familiarity with the regulatory requirements that relate to market risk.
Exposure to counterparty credit risks and non-traded interest rate risk would be advantageous but is not essential.
For more detailed information or a confidential discussion please call James Young on + 61 2 92310002 or email
enquiries@morganyoung.com.au
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James Fahy
Administrator
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