Senior Credit Risk Modeller | PD, EAD & LGD

Westpac New Zealand Ltd; Auckland; On-site; NZD 120,000 - 180,000; Full time

Benefits offered by this job

4 weeks standard holiday + 5 wellbeing

Purchased leave options up to 4 weeks

Banking benefits

Superannuation scheme

Career growth programs

Parental leave top up

School holiday subsidy

Volunteer days

Job summary

Westpac New Zealand Ltd seeks a Senior Modeller to join the Quantitative Risk Management (QRM) team. Apply your quantitative expertise to shape credit risk across retail and non-retail portfolios and strengthen risk understanding and management.

You will develop and enhance PD, EAD and LGD models, monitor performance, support stress testing, governance and regulatory reviews, and help grow modelling capability across QRM.

Qualifications

• Tertiary qualification in Statistics, Mathematics or related field.
• Experience with PD, EAD and LGD modelling is advantageous.
• Ability to communicate findings to senior stakeholders.

Responsibilities

• Develop and enhance PD, EAD and LGD credit risk models.
• Monitor model performance and develop supporting tools.
• Support stress testing, scenario analysis and regulatory reviews.
• Contribute to model governance, validation and documentation.

Skills

Quantitative mindset

Data analysis

Stakeholder communication

Education

Tertiary qualification in Statistics or Mathematics

Tools

SAS

SQL

R

Python

Job description

Westpac New Zealand Ltd seeks a Senior Modeller to join the Quantitative Risk Management (QRM) team. Apply your quantitative expertise to shape credit risk across retail and non-retail portfolios and strengthen risk understanding and management.

You will develop and enhance PD, EAD and LGD models, monitor performance, support stress testing, governance and regulatory reviews, and help grow modelling capability across QRM.