Quant jobs / Macquarie

Manager, Credit Model Risk Management – Prudential and Provisioning

An independent model-validation role covering the credit risk models behind a bank's capital, provisioning and stress testing. You challenge model builders and report to senior stakeholders.

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.

Review and validate default, loss-given-default and exposure models for regulatory and economic capital
Assess provisioning and stress-testing models against accounting and prudential standards
Write findings that challenge model developers and set out remediation steps
Work with risk, finance, data and technology teams across several jurisdictions

What they ask for

Required

Credit risk modelling (PD, LGD, EAD)
Stress testing
Provisioning (IFRS 9 / AASB 9)
Model validation
Prudential rules (APS 113, Basel)
Stakeholder management
5+ years in quant, risk modelling or validation

Preferred

Python, SAS, R or SQL

Education: Not stated
Experience: 5+ years in a quantitative, risk modelling or model validation role
Languages and tools: Python
SAS
R
SQL
Markets: credit

How to prepare

Build a simple PD scorecard with logistic regression and validate its discrimination and calibration
Read the Basel IRB framework summary and an IFRS 9 expected-loss explainer
Practise writing a validation report with findings, severity ratings and recommendations
Replicate an expected credit loss calculation with scenario weights

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

Read the full posting on Macquarie’s site before applying: requirements, location and pay can change after we check them.

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.