Value-at-Risk is a key risk management measure used in the financial industry and by regulators globally. It is important as a measure of aggregate portfolio risk and a key determinant of Market Risk regulatory capital.
As a Market Risk Analyst, within our Value-at-Risk and Capital risk modelling team in Sydney, you will be responsible for:
Macquarie's Value-at-Risk model covering all trading businesses across the group, providing exposure to a wide range of businesses, products and asset classes globally.
Analysing VaR results and reporting of VaR and other risk metrics to senior management
Devising model enhancements, calibrating model parameters and assessing back-testing results for Macquarie's VaR model.
Assisting with the implementation of the changes requiring for regulatory developments, and in particular, the Fundamental Review of the Trading Book
Assessment of the impact of regulatory capital on new products, businesses and trading strategies.
Calculation of Macquarie's regulatory and economic capital, ensuring Macquarie's compliance with APS 116 and responsibility for correspondence with the Australian Prudential Regulation Authority.
Operate in a global environment with staff in Sydney, Hong Kong, Singapore, London, New York and Houston.
We are seeking an entry-level Analyst to be part of our Market Risk team. If you have excellent numerical and analytical skills with a degree qualification in Finance, Mathematics, Statistics, Engineering, Physics or similar and excellent communication skills, this may be an exciting role for you.
The ability to balance the need to switch between being immersed in detailed day to day activities and problem-solving versus managing higher level longer term activities and objectives as well as the ability to sustain high level of performance in a fast paced, demanding environment are important attributes as well.
Please include a concise cover letter and academic transcripts to your application in order to be considered.
Macquarie understands the importance of diversity and inclusion - our long history of success has come from being different. At Macquarie we value the innovation and creativity that diversity of thought brings. The one thing we all have in common is our focus on high performance. If you're capable, motivated and can deliver, we want you on our team.
Risk Management Group is an independent, centralised unit responsible for ensuring all risk across Macquarie are appropriately assessed and managed. Its divisions include Credit, Prudential, Capital and Markets, Market Risk, Operational Risk, Compliance, Quantitative Applications and Internal Audit.
Find out more about Macquarie careers at www.macquarie.com/careers
For more information on the role or other opportunities within our Risk Management Group, please contact Shien Wu on Shien.Wu@Macquarie.com
Advertised: 16 Jun 2017 AUS Eastern Standard Time Applications close: