Job Description

How will I help?Market Risk Analytics is responsible for quantitative aspects of Westpac’s Basel 2.5 Risk Engine, and internal market Risk measurement. The team and its members operate as a cohesive unit to perform various Quantitative tasks.In this role you will have the opportunity to be involved in the development, implementation and testing of risk models traversing IR, FX, Commodities and Equity Markets, as part maintaining and improving the market risk model. This will include engagement with the teams in market risk, Front Office, internal committees, working groups and project teams to deliver quantitative elements of the risk engine to the business, to a high quality, in a timely fashion.Key responsibilities:Understanding derivative valuations - Integrating and testing the bank’s quantitative models used for Pricing & Risk in the Market Risk EngineMarket Data Transformation (eg. the construction of constant maturity pillars and calibration of volatility surfaces for VaR incorporating skew (FX/IR techniques)Understanding of the drivers of a historically simulated revaluated Value at Risk and/or Expected Shortfall in the context of Basel 2.5/FRTBForward looking thinking and the ability to learn about new products, pricing methodologies.Utilise data analysis tools to deliver insights from the market risk models and financial markets business.