Quant jobs / Westpac

Senior Modeller – Credit Risk Models (IFRS 9)

A credit risk modelling role building and monitoring the models behind the bank's IFRS 9 provisioning. It works across PD, LGD and EAD with risk, data and technology teams.

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.

Develop and enhance PD, LGD and EAD models for IFRS 9
Monitor model performance and recalibrate when needed
Challenge existing methodologies and test new modelling approaches
Clean and prepare data for model development
Take models from analysis through implementation

What they ask for

Required

Credit risk modelling experience, including IFRS 9 provisioning
PD, LGD and EAD modelling
Statistical methods and model performance assessment
SAS, Python, SQL, R or MATLAB
Data manipulation and cleansing
Clear communication of modelling concepts

Education: No degree level stated
Experience: Strong credit risk modelling experience; years not stated
Languages and tools: SAS
Python
SQL
R
MATLAB
Markets: credit

How to prepare

Build PD, LGD and EAD models on a public credit dataset and combine them into expected credit loss
Study IFRS 9 staging and forward-looking macroeconomic overlays
Practise monitoring metrics and recalibration triggers
Write clean, reproducible modelling code with documented data cleaning

What to study

The Risk 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 Westpac’s site before applying: requirements, location and pay can change after we check them.

View the posting on Westpac’s site ↗

SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Westpac and doesn’t handle applications.