Non-Traded Market Risk – Balance sheet modelling & QRM (12 month contract)

This is an exciting opportunity for an experienced QRM modeller to join a leading Investment bank based in Sydney and work on an established and funded project within the Market Risk team. Using your experience and knowledge of the QRM application, you will play a key role in the implementation of balance sheet risk models within non-traded market risk.

With the QRM system already used within the organisation, you will be able to start working on the interesting and challenging tasks of enhancing the system to fit the purposes of the team. We ask that you have experience in configuration activities in QRM, particularly around Funds Transfer Pricing (FTP) and Prepayment modelling and analysis of outputs of QRM. In addition, the following experience would be required to succeed in the role:

  • experience with and knowledge of Asset & Liability Management, Treasury and Balance sheet risk concepts
  • sound knowledge of financial instruments, including hedging products
  • knowledge and experience in interest rate risk management and oversight
  • strong quantitative capabilities to support validation of market data and modelling outputs
  • stakeholder management
  • testing and test case development experience is highly desirable
  • experience implementing Value at Risk (VaR) & Earnings at Risk (EaR) using QRM or similar modelling tools, and knowledge of APS 117 is highly desirable
  • experience with data orchestration (e.g. Alteryx/LavaStorm) and visualisation tools (Tableau/PowerBI) is highly desirable.

This is a great role for someone to take ownership of a workstream within this key project and be responsible for delivery on the QRM configuration aspects. The successful candidate is likely to come from a background in Market Risk (traded or non-traded) or a Treasury team, with experience working in a financial institution.

To express interest apply online today. If you have any questions, please contact Wynnie Tran on

Risk Management Group is an independent, centralised unit responsible for ensuring all risk across Macquarie are appropriately assessed and managed. Its divisions include Credit, Prudential, Capital and Markets, Market Risk, Operational Risk, Compliance, Quantitative Applications and Internal Audit.

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