Manager - Quantitative Modelling

at  COMMONWEALTH BANK OF AUSTRALIA

Sydney, New South Wales, Australia -

Start DateExpiry DateSalaryPosted OnExperienceSkillsTelecommuteSponsor Visa
Immediate24 Jul, 2024Not Specified24 Jun, 2024N/AGood communication skillsNoNo
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Description:

Responsibilities:

  • Model Validation - perform independent validation activities for models and quantitative tools developed for APS 111 (fair valuation including XVA) and APS 116 (including internal model and standardized approaches).Ensure that models
  • conceptually sound financial pricing methodologies (e.g. utilizing stochastic calculus) and numerical techniques (e.g. Monte Carlo simulation, finite difference methods).
  • Determine if the specified model is correctly implemented - this can require building a benchmark model (in e.g. Python, R, etc.) to verify the faithfulness of the model outputs for given model inputs.
  • Represent Model Risk Assurance team at project advisory groups and coordinate with other leaders in the model risk assurance team.
  • Effectively presenting the results of validation work and business implications to internal working groups and technical forums.
  • Thoroughly documenting the validation report, and appropriately challenging the modelling results and the thought process around the choice of modelling methodology, to enable stakeholders to understand the strengths and weakness of the final model and assess its impact.
  • Evaluating model implementation challenges, including assessment of the business impact of new or updated models on risk measures or processes.

REQUIREMENT SUMMARY

Min:N/AMax:5.0 year(s)

Financial Services

Accounts / Finance / Tax / CS / Audit

IT

Graduate

Proficient

1

Sydney NSW, Australia