The role exists within the Quantitative Modelling area of the Market Risk Management (MRM) group. The latter is a unit within the Financial and Risk Management Division.

The role reports to the Executive Manager - Quantitative Modelling, whose technical responsibilities include: (a) the validation, maintenance and documentation of pricing and risk measurement models; (b) the development of models and various forms of analyses aimed at quantifying the risk taking activities of the Bank's trading and treasury functions; and (c) the preparation of papers for MRM committees.

Purpose of the role:

To contribute to the methodological / quantitative development and maintenance of the models used to measure traded market risk. This includes pricing functions (and associated numerical solutions to these models), algorithms for curve and surface construction, and associated Historical Simulation scheme.

To contribute to the methodological / quantitative development and maintenance of the models used to measure counterparty credit risk (over traded instruments). This includes pricing functions, curve and surface construction, algorithm for discrete time transitioning, and associated Monte Carlo simulation scheme.

To contribute to the methodological / quantitative development and maintenance of the models used to measure non-traded interest rate risk.

To support the activities of the Quantitative Modelling team in respect of: (a) model validation, including test design and documentation of results; (b) parameter estimation; (c) calculation of price sensitivities; (d) stress test design; (e) backtest design; (f) documentation of modelling techniques; (g) documentation of models; and (h) ad-hoc quantitative tasks.

To carry out applied quantitative risk management research under the direction of the Executive Manager.

Requirements:

Essential

• Advanced skills in financial instrument pricing and quantitative risk modelling, typically gained via: (a) an advanced degree in a numerate discipline; and (b) direct exposure to derivatives pricing problems in a commercial environment.
• Intermediate programming skills in C++ (and to a lesser extent C).
• Advanced programming skills in VBA and advanced knowledge of SQL.
• Capacity to communicate and build relationships with: (a) front office quantitative analysts; and (b) quantitative developers.
• Capacity to work to tight deadlines within a commercial, results-focussed team.
• Capacity to accurately document models (including test-bed design and validation results) and modelling frameworks.
• A strong sense of initiative which translates into an ability to advance improvements / new ideas with respect to the quantification of risk.
• Capacity to understand both the regulatory and market environments within which the trading and treasury functions operate.

Desirable:

• Intermediate skills in time series analysis (as applied to financial data) and statistical methods.
• Intermediate programming skills in MATLAB.

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348112.

The Commonwealth Bank is one of Australia's leading financial institutions with businesses in New Zealand, Asia and the United Kingdom. We are positioned for future growth, and aim to provide accessible banking and financial services for all Australians; fair, safe, challenging and rewarding employment for staff and to reward all shareholders through dividends and capital growth. 

Profile
We're one of Australia's leading providers of integrated financial services including retail, premium, business and institutional banking, funds management, superannuation, general and life insurance, broking services and finance company activities.

Strategy
To be Australia's finest financial services organisation through excelling in customer service.

Structure
We combine product development and service delivery with customer segment requirements, bringing us closer to our customers and helping us to meet customers' needs.

Our Leaders
It's our team of leaders who ensure the business works together to support staff and grow the business.

Our People 
Our staff are committed to helping our customers manage and build wealth. With more than 35,000 staff, we're one of Australia's largest employers and we support our staff through a range of benefits and services.

Funding
We raise and maintain the Bank's wholesale debt and capital in both the domestic and international capital markets in a cost efficient manner.

Facts and figures
With over 130,000 distribution points across the country and businesses overseas, we're a diverse organisation with a long history in the Australian banking industry.

History
The Commonwealth Bank was founded under the Commonwealth Bank Act in 1911 and commenced operations in 1912. The Bank was empowered to conduct both savings and general banking business. Today, we've grown to a business with over 700,000 shareholders, offering a full range of financial services to help every Australian build and manage wealth.