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Westpac

Banking and financial services for customers

Senior Quantitative Analyst - Counterparty Credit Risk

Quantitative RiskConfirmed live in the last 24 hours
Full-timeSydney NSW, AustraliaNo salary listed

About the Job

Requirements

  • Strong knowledge of counterparty credit risk or XVA, including derivatives pricing, risk factor modelling, exposure profiles and CVA modelling.
  • Experience configuring and testing mark-to-market models, generating simulation scenarios and supporting models through independent assessment.
  • Proficiency in at least one relevant programming language, such as C++, R or Python.
  • A methodical approach to model testing, technical documentation and process management, with the ability to apply materiality when making assessments.
  • Strong communication, collaboration and time-management skills, along with a proactive and delivery-focused approach.

Responsibilities

  • Deliver models, analytics and risk capabilities supporting Financial Markets, Treasury and Commodities.
  • Manage and enhance models used to measure counterparty credit risk, derivative valuations and XVA.
  • Develop new capabilities and support the introduction of new products in collaboration with trading, risk and technology teams.
  • Contribute to major initiatives, including enhancements to the counterparty credit risk platform.
  • Deliver practical solutions that support the business.

Desired Qualifications

  • Experience with IMCR, Risk++, Git, Jira or Confluence.

About the Company

Westpac

Banking and financial services for customers

Westpac is an Australian bank offering a wide range of financial services for individuals and businesses, including everyday banking, loans, payments, and digital banking.

Company size
10,001+
Company stage
IPO
Headquarters
Sydney NSW, Australia
Founded
1817

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