Quantitative Analyst
Major Investment Bank
Sydney
A Quantitative Analyst is
required to support the new operational risk measurement
methodology currently being implemented under the Bank's Basel II
Advanced Measurement Approach. The new measurement methodology
will produce regulatory and economic capital figures for internal
and external use on a quarterly basis, using a sophisticated data
and dynamic portfolio modelling process. This process includes
correlation modelling and other key judgments/parameters which
need justification and testing under Basel II/APRA guidelines.
The capital figures will need to be robust, validated, fully
understood, and transparent to the business.
This role will be a critical
contributor to support these activities and their handover to
Business As Usual.
The successful applicant
will have:
-
Advanced knowledge of risk
measurement techniques.
-
Proven understanding of
advanced mathematical techniques, Eg: Monte Carlo Simulation,
Distribution Fitting, and Statistical Analysis
-
Proven understanding of model
validation and sensitivity analysis techniques
-
2-5 years
quantitative/analytical experience within the finance industry.
-
Superior written and verbal
communication skills, i.e. the ability to translate complex
mathematical concepts into business language.
-
Ability to
work independently and within a team environment
This is a contract position with a view to
going permanent, please send an up to date resume to
Gavin.Pugh@tardisgroup.com.au
Apply now (Posted 25 November 2005).
