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Financial Risk Analyst - 12 month contract


This role will work closely with Interest Rate Risk subject matter experts and software developers within the organisation to design, implement and validate new models to meet new regulatory requirements in this space (APS117).  The key focus will be on the implementation of an Expected Shortfall model for non-traded market risk, including validation of the underlying market data and pricing models, but the successful candidate will get broad exposure to the wider project and will have the opportunity to get involved in a range of activities.  To succeed in this space we are looking for the following experience:

  • strong quantitative capabilities to support validation of market data and modelling outputs
  • sound knowledge of financial instruments, including hedging products
  • model development and testing

Experience in any of the following is not essential but would be highly desirable

  • knowledge and experience in interest rate risk management and oversight
  • experience with and knowledge of Asset & Liability Management, Treasury and Balance sheet risk concepts
  • experience implementing Value at Risk (VaR) & Earnings at Risk (EaR) using QRM or similar modelling tools, and knowledge of APS 117
  • experience working with large data sets, including use of tools such as SQL, Alteryx, Python, and visualisation tools (Tableau/PowerBI)

This is a great role for someone to be part of a major transformation project within an industry leading organisation.  The successful candidate is likely to have experience with financial modelling within a financial institution.  Initial contract is 12months, but with a large pipeline of change across Market Risk strong performance in this role is likely to create opportunity for extensions.

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 16,000+ employees and offices in 32 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-958618
Work type: Permanent - Full time
Location: Sydney
Category: Mid-level, Risk Management
Group: Risk Management Group
Division: Market Risk
Recruiter: Heather Noto
Opening Date: