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Our Risk Management Group’s Credit Modelling team in London is responsible for all aspects of credit exposure measurement and provisioning, including counterparty credit risk (CCR) exposure measurement and methodology. The team works cross-functionally to ensure robust processes, tools, and methodologies are in place to support the organisation's risk management objectives. By fostering collaboration and innovation, the team plays a critical role in maintaining Macquarie’s strong risk culture.

 

While Macquarie offers hybrid working for many of our roles, this role does require 3 days a week in our advertised location.

At Macquarie, our advantage is bringing together diverse people and empowering them to shape all kinds of possibilities. We are a global financial services group operating in 31 markets and with 56 years of unbroken profitability. You’ll be part of a friendly and supportive team where everyone - no matter what role - contributes ideas and drives outcomes.

What role will you play?

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You will contribute to the improvement of existing counterparty credit risk models and assist in the development of new methodologies and tools compliant with internal and regulatory requirements. You will also calibrate risk factor evolution model parameters for newly traded assets and those not yet modelled in the CCR system. In this role, you will maintain and develop processes to monitor CCR model performance, analyse model outputs, and prepare reports for stakeholders. Additionally, you will help reduce reliance on legacy non-simulation-based models by onboarding assets and products into the primary  counterparty credit risk model, while ensuring comprehensive documentation for all  counterparty credit risk processes and systems.

What you offer

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• Advanced degree in a quantitative discipline, such as mathematics, statistics, actuarial science, engineering, or computer science
• 1-2 years of experience in financial services, ideally in investment banking or trading systems support
• Experience in developing or validating  counterparty credit risk models and a strong understanding of  counterparty credit risk, as well as the economic, regulatory, and market environments in which banks operate
• Knowledge of financial market products, market conventions, and regulatory requirements
• Some understanding of physical commodity markets
• Strong knowledge of numerical methods, stochastic calculus, and probability theory
• Excellent programming skills, including R, Python, and C++
• Effective communication skills, with the ability to work both autonomously and collaboratively while managing multiple priorities simultaneously

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.

About the Risk Management Group

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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, internal audit, market risk, operational risk, aggregate risk and prudential, and central.

Our commitment to diversity, equity and inclusion

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We are committed to providing a working environment that embraces diversity, equity, and inclusion. We encourage people from all backgrounds to apply regardless of their identity, including age, disability, neurodiversity, gender (including gender identity or expression), sexual orientation, marriage or civil partnership, pregnancy, parental status, race (including ethnic or national origin), religion or belief, or socio-economic background. We welcome further discussions on how you can feel included and belong at Macquarie as you progress through our recruitment process.

Our aim is to provide reasonable adjustments to individuals as required during the recruitment process and in the course of employment. If you require additional assistance, please let us know during the application process.