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Quantitative Senior Analyst/ Manager (Counterparty Credit Risk and Derivative Model Validation)


Join our Model Risk Management team, who are responsible for ensuring the integrity of key financial models used by Macquarie globally. 

Macquarie trades a very broad set of assets, including a uniquely large exposure to commodities. This role focuses on assisting Macquarie’s Credit Risk team with the development of models used in the calculation of Counterparty Credit Risk exposures in the trading book.  

In this role, you will participate in a broad range of modelling work, including: 

  • calibration and back-testing of models used to measure Counterparty Credit Risk exposure in the trading book 

  • maintaining efficient communication with stakeholders regarding modelling, back-testing and evaluation of model performance 

  • validation of derivatives pricing models and sensitivities, as well as other models used for valuation and risk management, including valuation adjustments (XVA), regulatory initial margin (SIMM) and curve bootstrapping. 

You will bring with you: 

  • a quantitative educational background and exceptional problem-solving skills  

  • a thorough understanding of financial markets and of key risk factors for financial products  

  • the capacity to communicate effectively with key stakeholders, both verbally and in writing 

  • minimum experience in a quantitative role of 1 year. 

If you are looking for a new challenge, and can demonstrate the above skills, we would like to hear from you.  

Additional attributes helpful to the role include: 

  • previous experience with the calibration of statistical or stochastic models from historical or market data, especially VaR/CCR/XVA 

  • knowledge of advanced numerical and statistical techniques, especially those relevant to computational finance  

  • understanding of commodity markets 

  • model development and maintenance experience in high-level languages: Python, R or similar languages. 

  • exposure to low level languages such as C++  

  • Cover letter is encouraged 

About the Risk Management Group

The Risk Management Group (RMG) is an independent, centralised unit responsible for ensuring all risk across Macquarie are appropriately assessed and managed. Its divisions include Behavioural Risk, Compliance, Credit, Financial Crime Risk, Internal Audit, Market Risk, Operational Risk, Regulatory Affairs and Aggregate Risk, and RMG Enterprise Support.

Our commitment to Diversity and Inclusion 

The diversity of our people is one of our greatest strengths, and in combination with our inclusive environment, it enables us to deliver innovative and sustainable outcomes for our people, clients, shareholders and communities. From day one, you'll be encouraged to be yourself and supported to perform at your best. If our purpose of ‘empowering people to innovate and invest for a better future’ is as inspiring to you as it is to us, please apply. With the right technology, support and resources, our people can work in a range of flexible ways.

We are committed to providing a working environment that embraces and values diversity and inclusion. We encourage candidates to speak with a member of our recruitment team if you require adjustments to our recruitment process to support you, and the type of working arrangements that would help you thrive.

About Macquarie

A career at Macquarie means you’ll have the opportunity to develop and utilise new skills, explore interesting fields and do challenging work that will impact the lives of people around the world—whether it’s accelerating the green energy transition, helping sustain global food supplies, financing social housing projects or investing in essential infrastructure. At Macquarie, we’re empowering people to innovate and invest for a better future.

Our size and international presence means your work can take you anywhere—across business groups, disciplines, sectors and borders. With 17,000+ employees and offices in 33 markets around the world, we’re a truly global organisation.

You’ll be supported by a diverse team where the unique perspectives, ideas and experiences that all of our people bring are valued. You’ll be empowered to address unmet needs in our communities whilst advising and investing alongside our clients and partners. Working with us, you’ll have the opportunity to make a difference.

Macquarie is a global financial group providing clients with asset management, retail and business banking, wealth management, leasing and asset financing, market access, commodity trading, renewables development, specialist advisory, capital raising and principal investment.

Find out more at

Job no: RMG-962492
Work type: Permanent - Full time
Location: Sydney
Category: Mid-level, Risk Management
Group: Risk Management Group
Division: RAAR
Recruiter: Heather Noto
Opening Date: