You & Your New Role

A great opportunity for a Risk Professional to build on your existing experience and knowledge in Market Risk and provide quantitative support for NAB’s SIMM model (Initial margin on non-centrally cleared derivatives) and its backtesting. As part of Market Risk, which encompasses FRTB Compliance, Counterparty Credit Oversight, Balance Sheet Market Risk Oversight, Market Risk Analytics and Market Risk Models, your role will be to ensure efficient & effective risk management & challenge of Markets derivatives valuation adjustments (XVA) and collateral/margining activities.

To be successful in the role are tertiary qualified in finance/commerce/law or related and have several years’ experience of quantitative risk management or market risk.

Applicants will also be expected to have:

• Strong engagement, communication, organisational and interpersonal skills – strong presence with proven ability to interact, challenge and influence effectively across senior levels of the organisation.
• Strong business acumen – business judgement, problem solving skills and ability to distil large volumes of data / information
• Knowledge of XVA & valuation practices is essential

Day to day you will:

You will take overall responsibility is developing and coordinating the implementation of risk management strategies, programs and projects to identify and minimise all forms of risk. Sets the companies ultimate risk limits. These include;

• Provide review and challenge derivative valuation adjustments and hedging activity. Monitor adherence to Limits, Categorise Excesses, and remediate with Traders and Business Heads and recommend corrective actions.
• Ensure prospective material risks, loss events and/or deviations from the Market Risk Policy/Framework are known to relevant Domain-aligned teams and escalated on a timely basis.
• Provide forward looking insights and deep dives in to risks in Markets Division to Head of MRO, MRM and Executive Market Risk
• Conduct Annual Desk Reviews
• Provide quantitative support including investigation & escalation of reconciliation issues for NAB’s SIMM model. Investigate backtesting exceptions relating NAB’s SIMM Model working with Front Office, MRA, MRM & MTV as necessary.
• Represent Market Risk on relevant Committees and Working Groups
• Collaboration with other Risk and business units involved in Markets

Why NAB?

We believe success comes from our people. We're committed to supporting your talent and skills through your career, as you help us build a culture that affects change for our customers - and for the community too.  We have an African Australian Inclusion Program, a range of Grad, Traineeship and Internship Programs, we are proud to have dedicated $55 billion to help address climate change, be recognised as a Gold employer of LGBTI Inclusion by AWEI, and be an endorsed employer for Women by Work180.

We are an equal opportunity employer and welcome diversity in the workplace.

The Benefits

From education and volunteer leave to learning benefits and banking discounts, we offer access to a wide range of employee benefits. For more information please visit here. 

If you think this role is the right fit for you, we invite you to apply. Let’s have a serious but informal chat about who you are and what drives you. We’d love to share our vision for the future of banking.

To be eligible to apply, you must have Australian or New Zealand citizenship or permanent residency status. Please note candidate screening and interviews may be conducted prior to the closing date of the job advert.

*Please note unsolicited CVs from agencies will not be accepted.

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