Manager/Senior Manager | Credit Modelling – Counterparty Credit Risk

As a senior team member, you will enhance existing counterparty credit risk (CCR) models and contribute to the development of new modelling methodologies and tools that meet both internal and regulatory requirements. You will calibrate risk factor evolution model parameters for newly traded assets and for those not yet incorporated into the CCR system. You will be responsible for maintaining and developing processes and tools to monitor CCR model performance, analysing model outputs, and preparing high-quality reports for stakeholders. You will also coach and support the development of junior team members.

In addition, you will also support the transition away from legacy non simulation-based models by onboarding additional assets and products into the primary CCR model, as well as supporting Commodity Markets and Finance Front Office and Credit queries relating to CCR models.

Advanced degree in a quantitative discipline (e.g., Mathematics/Statistics, Actuarial, Engineering, Computer Science)

6+ years of experience in financial services, preferably in investment banking or trading systems support

Experience developing/validating CCR models and understanding CCR and the economic, regulatory and market environments in which Banks operate

Knowledge of financial market products, market conventions and regulatory requirements

Strong knowledge and understanding of commodity markets

Good knowledge of numerical methods, stochastic calculus, and probability theory

Strong communication skills (verbal and written English) and excellent stakeholder management skills

Strong programming skills (Python, C++, R).

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.

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

We are committed to providing an inclusive environment for all, where different experiences, skills and perspectives are valued and respected. Macquarie provides access to opportunities for all individuals regardless of race, colour, religion, sex, sexual orientation, national origin, age, disability, protected veteran status, genetic information, marital status, gender identity or any other characteristic or circumstance.

We provide reasonable adjustments to individuals who may need support during the recruitment process and employment. If you require an adjustment, please let us know during the application process.