Manager - Financial Risk Modelling
Core
Lead the development of financial risk modelling capability to quantify risks on the Reserve Bank's balance sheet and inform policy advice.
Role type
Manager, Financial Risk Modelling
Builds
Financial risk quantification tools, stress testing scenarios, and risk monitoring frameworks for the Reserve Bank of Australia.
Domain
Central Banking / Financial Markets
Deliverable
production ML models
Required skills
Financial risk modelling, Value-at-Risk (VaR), Expected Shortfall, financial markets knowledge, policy context understanding, R programming, business coding best practices, risk and compliance frameworks
Preferred skills
Stress testing, scenario analysis, model validation, stakeholder engagement
Technologies
R
Responsibilities
Review and uplift maturity of risk modelling tools and controls; implement extensions to existing risk models for stress testing; develop long-term plans for risk quantification capabilities; coordinate monitoring and reporting of risk metrics; conduct analysis of financial risks across the portfolio; provide leadership and mentoring to analysts.
Seniority
Manager, hands-on IC with leadership responsibilities
