Senior Quantitative Risk Modeller

Westpac New Zealand Ltd; New Zealand; On-site; NZD 140,000 - 190,000; Full time

Benefits offered by this job

4 weeks holiday

Wellbeing leave (5 days)

Purchased leave options up to 4 weeks

Banking benefits and insurance

Career growth programs

Parental leave top up

School holiday subsidy

Volunteer days

Job summary

Westpac New Zealand Ltd. is seeking a Senior Modeller to join our Quantitative Risk Management (QRM) team.

You will apply quantitative expertise to shape credit risk profiles and strengthen how we understand and manage risk across retail and non-retail portfolios. You will develop and monitor PD, EAD and LGD models, participate in governance, validation, and regulatory reviews, and collaborate with stakeholders to deliver high-quality modelling outcomes and improve practices in analytics, coding

Qualifications

• A tertiary qualification in Statistics, Mathematics or a related field.
• Proficiency in SAS, SQL, R or Python and willingness to learn new tools.
• Strong analytical and problem-solving skills.
• Ability to write clear technical documentation and communicate findings to senior stakeholders.

Responsibilities

• Develop and enhance Probability of Default (PD), Exposure at Default (EAD) and Loss Given Default (LGD) credit risk models.
• Monitor model performance and develop supporting tools.
• Support stress testing, scenario analysis, benchmarking and model reviews.
• Contribute to model governance, validation and regulatory reviews.
• Share your expertise and help grow modelling capability across QRM.
• Improve practices across analytics, coding, documentation and data visualisation.
• Challenge existing processes to improve efficiency, accuracy and quality.
• Collaborate with stakeholders to keep projects moving and deliver quality outcomes.

Skills

Quantitative mindset

Stakeholder communication

Data-driven decision making

Analytical thinking

Education

Bachelor's or higher in Statistics, Mathematics or related field

Tools

SAS

SQL

R

Python

Job description

Westpac New Zealand Ltd. is seeking a Senior Modeller to join our Quantitative Risk Management (QRM) team.

You will apply quantitative expertise to shape credit risk profiles and strengthen how we understand and manage risk across retail and non-retail portfolios. You will develop and monitor PD, EAD and LGD models, participate in governance, validation, and regulatory reviews, and collaborate with stakeholders to deliver high-quality modelling outcomes and improve practices in analytics, coding