Sr Credit Risk Modelling Lead - Provisioning & Stress Tests

Macquarie Group; New South Wales; Hybrid; AUD 150,000 - 230,000; Full time

Benefits offered by this job

Wellbeing leave

Parental leave

Volunteer leave

Learning and development

Hybrid work

Job summary

Macquarie is seeking a Senior Analyst/Manager in Provisioning and Stress Test Modelling within Credit Risk Management. You will work with the Head of Modelling to drive delivery and strategic direction, manage senior stakeholders, and oversee framework governance for credit models and related processes.

You will lead development, validation and monitoring across provisioning and stress testing models, while ensuring compliance with regulatory expectations and model governance.

Qualifications

• Extensive experience in IRB model development, monitoring or validation.
• Knowledge of financial market products, market conventions and regulatory requirements.
• Strong grounding in numerical methods, stochastic calculus and probability theory.
• Programming skills in R and Python.
• Ability to work autonomously and collaboratively while managing multiple activities.

Responsibilities

• Lead development and governance of credit models and supporting frameworks.
• Engage senior stakeholders on key modelling initiatives and governance.
• Coordinate with second-line risk, internal/external audit and regulators.

Skills

IRB model development

Model monitoring

Model validation

Financial market products knowledge

Regulatory requirements knowledge

Numerical methods, stochastic calculus

Programming in R

Programming in Python

Stakeholder management

Tools

R

Python

Job description

Macquarie is seeking a Senior Analyst/Manager in Provisioning and Stress Test Modelling within Credit Risk Management. You will work with the Head of Modelling to drive delivery and strategic direction, manage senior stakeholders, and oversee framework governance for credit models and related processes.

You will lead development, validation and monitoring across provisioning and stress testing models, while ensuring compliance with regulatory expectations and model governance.