Quant jobs / Macquarie

Manager / Senior Manager, Model Risk Management – Trading Models

An independent validation role for counterparty credit risk, valuation-adjustment, initial-margin and trading pricing models. The team serves regulators and entities around the world.

What you’d work on

Our reading of the posting: what a new hire in this role would most likely spend their first months on.

Independently validate counterparty credit risk and XVA models
Review the standardised initial margin model and related pricing models
Run back-testing and performance assessments, including curve bootstrapping checks
Present validation outcomes to senior stakeholders and confirm regulatory compliance

What they ask for

Required

Counterparty credit risk modelling
Model back-testing
Curve bootstrapping
Calibration of stochastic or statistical models
Computational finance
Python or R
5–10 years in risk management

Preferred

Education: Strong quantitative education (level not stated)
Experience: 5–10 years in risk management with model validation exposure
Languages and tools: Python
R
C++
Markets: multi-asset

How to prepare

Build a Monte Carlo exposure engine for an interest rate swap and compute EPE, PFE and a simple CVA
Bootstrap a discount curve from deposits and swaps and test the sensitivities
Study the standardised initial margin methodology and how it is back-tested
Read model risk guidance (for example SR 11-7) and draft a short validation plan

What to study

The Model Validation Quant roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

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View the posting on Macquarie’s site ↗

SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Macquarie and doesn’t handle applications.