Markets Model Risk Manager: Valuation & Oversight

Westpac Group; Sydney; On-site; AUD 180,000 - 250,000; Full time

Job summary

Westpac Group is seeking a Manager, Markets, Model Risk to provide independent oversight and validation of valuation and risk models across Financial Markets, Risk and Treasury. You will cover a broad range of models, including linear and nonlinear derivatives, and work closely with stakeholders to strengthen governance.

The role requires expertise in IRRBB models and APS standards, strong programming skills (C++/R), and experience with risk platforms such as Murex, Calypso or QRM.

Qualifications

• Strong experience in a financial markets quantitative environment.
• Expertise in derivative valuation and risk models across products.
• Knowledge of IRRBB models and APS standards such as APS111/APS116/APS117/CPS226/APS180.
• Ability to independently assess and validate complex valuation and risk models.
• Excellent communication with ability to influence stakeholders.
• Proficiency in programming with C++ or R; familiarity with version control and market risk platforms.

Responsibilities

• Provide independent oversight and validation of models used across Financial Markets, Risk and Treasury.
• Influence key decisions and contribute to model risk governance across the Group.
• Collaborate with stakeholders to improve model risk controls and documentation.

Skills

Derivative valuation

Risk models

Analytical skills

Communication

Tools

Murex

Calypso

Real Time Credit Engine

QRM

Job description

Westpac Group is seeking a Manager, Markets, Model Risk to provide independent oversight and validation of valuation and risk models across Financial Markets, Risk and Treasury. You will cover a broad range of models, including linear and nonlinear derivatives, and work closely with stakeholders to strengthen governance.

The role requires expertise in IRRBB models and APS standards, strong programming skills (C++/R), and experience with risk platforms such as Murex, Calypso or QRM.