Model Validation Specialist

See job description for details

An exciting opportunity has just come for you to join ANZ as a Quantitative Modelling Specialist.

  • 1 year fixed term contract
  • Reports to the Director, Quantitative Modelling
  • Contribute to the Bank’s Regional goal

About the role
Mainly responsible to independently validate the standard initial margin model ( SIMM ) and assist on all quantitative work related to IM implementation.

The responsibilities of a Quantitative Modelling Specialist, include, but not limited to:

  • Develop backtesting methodology to safeguard against model assumptions/limitations
  • Formulate an opinion on SIMM Model design and SIMM Model implementation
  • Ensure all validation work is documented, transparent and can be reproduced
  • Verify that validated methodology has been correctly implemented by independent implementation
  • Collaboration with risk quants in developing backtesting methodology for SIMM Model
  • Oversight of sensitivities mapping to vendor system
  • Assist with the Regulatory Accreditation Process, by ensuring validation & back testing documentation is in line with regulatory requirements
  • Facilitate strong Engagement and collaboration with immediate and wider team

About you
To be successful in this role, you will ideally bring the following -

  • You have proven experience in either a previous Model Validation or Front Office Quant role
  • You have strong mathematical skills
  • You hold a solid programming skills in C and VBA
  • Strong analytical and problem solving skills, supported by clear and confident communication skills
  • You have an eye for detail and good understanding of financial markets with a strong focus on exotic structured products
  • You have a solid knowledge in market risk management and measurement techniques

About ANZ

ANZ is a leading regional bank with representation in 34 markets, focusing on core markets in Australia, New Zealand and Asia Pacific. As we continue our journey to build our global business and support our customers, we’re committed to attracting and retaining the best talent. We’ve made it our business to be an organisation where people strive, and are rewarded, for excellence.

We’re exploring new and better ways to progress the business with energy and enthusiasm. Backed by a proud and established heritage, we’re on a journey creating a regional bank. Connected by integrity and clarity of strategy, there is a real sense of excitement about the future.

At ANZ we aim to create a work environment where employee differences such as gender, age, culture, disability, sexual orientation, family and caring responsibilities and religion are valued.

We work flexibly at ANZ. Talk to us about how this role could be flexible for you.

Find out more about working at ANZ or to view other opportunities visit www.anz.com/careers

We connect you to a world of opportunity.

Watch our Global Stories to see how ANZ aims to meet the needs of our customers and to attract and retain the best people in a changing world ( https://www.youtube.com/watch?v=JK__FGv4dNU ).

You may apply for this role by visiting ANZ Careers and search for reference SIN005458.

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