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Join our Model Risk Management team based in Sydney who are responsible for independent validation of trading models used for pricing and valuations; Market Risk regulatory capital; Counterparty Credit Risk (CCR); Valuation Adjustments (XVA); and the Standardised Initial Margin Model (SIMM).

What role will you play?

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As a Senior Manager you will join the team responsible for independent validation of trading models used for pricing and valuations; Market Risk regulatory capital; Counterparty Credit Risk (CCR); Valuation Adjustments (XVA); and the Standardised Initial Margin Model (SIMM).

The broad impact of the role means the successful applicant will need to manage and deliver high calibre risk management outcomes to senior stakeholders across Commodities and Global Markets; Financial Management, People and Engagement; and Risk Management Group.

Macquarie is subject to regulatory supervision and thus the role also requires ensuring compliance with Australian regulations that include APS180, CPS226, and APS116. In addition, the team has global reach performing validations used to meet the local regulatory requirements of Macquarie’s entities around the world.

What you offer

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• A strong quantitative educational background, exceptional problem-solving skills, and an ability to independently manage model validations.
• 7+ years experience in risk management. Beneficial knowledge and skills include an understanding of financial products and trading risk, as well as advanced modelling techniques regarding CCR, model performance assessments including back-testing, and curve bootstrapping.
• Effective collaboration and communication skills, capable of working with multiple stakeholders to achieve strong model risk outcomes and an analytical mindset that can navigate model risk policies and regulations.
• Experience with model calibration using statistical or stochastic models, advanced numerical/statistical techniques, with knowledge of computational finance.
• Proficiency in with high-level programming languages (Python, R); exposure to low-level languages (C++) would be considered favourably.

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.