Senior Analyst/Manager Provision and Stress Test Modelling

About the role

Macquarie's Credit Modelling team is looking for a Senior Analyst or Manager to join the team responsible for all aspects of Provisioning and Stress Test Modelling. The role sits within the Risk Management Group, which independently reviews and challenges material risks across the organisation.

Key responsibilities

• Work closely with the Head of Modelling to drive the delivery outcomes and strategic direction of the Credit Loss Modelling team
• Manage and engage senior stakeholders on key initiatives
• Lead the development and maintenance of credit models and build the frameworks and components supporting model governance
• Oversee interactions with second-line risk teams, internal and external auditors and regulators

Required profile

• Advanced degree in a quantitative discipline such as Mathematics/Statistics, Actuarial, Engineering or Computer Science
• Extensive experience in IRB model development, model monitoring and/or model validation
• 3-7 years of experience in financial services, preferably in investment banking or trading systems support
• Knowledge of financial market products, market conventions and regulatory requirements
• Good knowledge of numerical methods, stochastic calculus and probability theory
• Strong communication and stakeholder management skills; able to work autonomously and collaboratively

Required skills

• Programming in R and Python
• IRB model development, monitoring and validation

What we offer

• Wellbeing leave and up to 5 additional service bonus leave days per year
• Paid parental leave and gender affirmation leave
• Employee Assistance Program and wellbeing benefits
• Salary packaging options and learning and development opportunities
• Hybrid and flexible working arrangements, dependent on role
• Reimbursement for work from home equipment