Senior Quantitative Analyst, Market Risk & Models

The role

APRA is seeking a Senior Quantitative Risk Analyst to join the Market Risk & Models team in Sydney.

The Senior Quantitative Risk Analyst will play a key role in the analysis of current and potential Market risks, including traded (TMR) and non-traded market risk (IRRBB & ALM), counterparty credit risk (CCR) and various market related valuation adjustments (XVA). High-level analysis and problem solving are regular requirements of the position as well as the ability to liaise with senior stakeholders, both internally and within financial institutions.

The team

The Market Risk & Models team is part of APRA’s Cross-industry Risk Division (CRD). CRD consists of three branches: Financial, Non-Financial and System Risk. CRD delivers on APRA's strategy by using expertise to identify and respond to risks and ensures APRA takes a system wide view.

Key responsibilities

Undertake on-site reviews to assess the risk management framework of a wide range of regulated institutions;

Develop and utilise modelling skills to assess quantitative capital and exposure models submitted for approval by the regulated institutions;

Keep up-to-date with theoretical and practical developments in risk management and international supervisory developments, in particular the Basel policy framework;

Develop and interpret risk standards and guidelines for regulated institutions, working closely with APRA’s frontline supervision teams to ensure advice provided is accurate and timely;

Design and translate business requirements into technical specifications and work closely with data teams to ensure accurate and effective solution design and implementation; and

Be accountable for development of functional solutions and create and maintain detailed documentation including functional specifications and user manuals.

About you

Experience in either traded market risk, counterparty credit risk or interest rate risk in the banking book;

Solid knowledge and understanding across financial markets (products, pricing models), market risk (oversight and measurement), model assessment and validation;

Curiosity and motivation to continue to develop all these risk types, across the disciplines of technical modelling and risk management;

Graduate or post graduate qualifications in a relevant discipline, which may include professional qualifications;

Proficiency in a leading programming language, including experience with developing packages for data analysis, visualisation and statistical modelling; and

Excellent analytical, teamwork and communication skills are essential.

To work with us, you need to be an Australian citizen with eligibility to obtain and maintain Australian Government Security clearance.

About APRA

Australian Prudential Regulation Authority (APRA) was established in 1998 as an independent statutory authority that supervises almost 1,200 financial institutions that manage $8.6 trillion in assets for Australians across the banking, insurance and superannuation sectors. APRA serves the Australian community by helping ensure that financial institutions deliver on the financial commitments they make, with a stable, efficient and competitive financial system.

In overseeing the safety, competitiveness and stability of the financial system, we seek to recruit, develop and retain highly skilled professionals, who want to help shape financial services and protect the financial wellbeing of the Australian community. Our employee base of almost 900 come predominantly from the commercial financial services industry or other government agencies; as such, we have the feel of a small corporate organisation that can work flexibly and with agility.

Why Work for APRA

We recognise the skills, experience and commitment that our staff bring to their professional lives, and we seek to reward them accordingly. We also recognise that for our staff to be able to perform at their best, we need to ensure that they are able to bring their best selves to work. Our commitment to wellbeing is having engaged people supported by resilient leaders within a values-aligned culture.

At APRA, we’re committed to providing an inclusive workplace where everyone belongs, feels valued and respected. We aspire to attract and foster diversity of background, thought, and experience, recognising that a broad range of perspectives, approaches and ideas makes us stronger, and better enables us to meet our obligation to protect the financial wellbeing of the Australian community. If you need any adjustments during the recruitment process, please inform at application stage so we can do our best to accommodate your requirements.

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