Quant Analyst, Model Validation
- 1 year fixed term contract opportunity
- Reports to the Director, Model Validation
- Opportunity to work across different asset classes
As a Quant Analyst, Model Validation the role offers opportunity to work on structured derivative products across multiple asset classes and independently validate valuation models as well as XVA (CVA, FVA) models for businesses within Global Markets space.
The responsibilities of the role include, but not limited to:
- You will contribute in validation of internally/externally developed models and pricing functions with reference to academic literature, existing models and/or numerical verification.
- You will verify that validated functions have been correctly implemented by independently implementation.
- You will assist in determining key areas of Model Risk and develop Model Risk provisioning methodologies to safeguard against model assumptions/limitations
- You will ensure all validation work is documented, transparent and can be reproduced.
To be successful in this role, you will ideally bring the following -
- Proven experience in either a previous Model Validation or Front Office Quant role.
- Strong mathematical skills - background in a numerate discipline such as Mathematics, Physics, Engineering, and/or Computational Finance.
- Solid programming skills in C and VBA.
- Strong analytical and problem solving skills, supported by clear and confident communication skills.
- A detailed understanding of financial markets with a strong focus on exotic structured products.
- A solid understanding of market risk management and measurement techniques.
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.
We connect you to a world of opportunity.
We know that working 9-5 doesn't suit everyone. Hear from our staff about how flexible working arrangements help them maintain a healthy work-life balance. https://www.youtube.com/watch?v=BGt2xObOnJc
Find out more about working at ANZ or to view other opportunities visit www.anz.com/careers
You may apply for this role by visiting ANZ Careers and search for reference SIN005844.