Credit Risk Model Developer

Vedi l’offerta su Go Lavoro: golavoro.it/annuncio-lavoro/78cqye

Key Responsibilities
- Develop and maintain IFRS 9 models, managing all project phases: initiation, data collection, model design, development, validation interaction, and audit/regulatory engagement when required.
- Design and calibrate point‑in‑time risk parameters and macroeconomic overlays, ensuring proper incorporation of forward‑looking information and scenario‑based approaches.
- Monitor model performance through backtesting, benchmarking, and sensitivity analysis, identifying model weaknesses and implementing enhancements when necessary.
- Define and execute remediation plans to address findings from Internal Validation, Audit, and external reviews.
- Support model implementation and production deployment, including test strategy definition, UAT execution, reconciliation checks, and issue resolution.
- Collaborate with key stakeholders (Finance, Accounting Policy, Risk, IT, Data Management) to ensure alignment between risk models and financial reporting requirements.
- Conduct impact analyses related to model changes, macroeconomic scenarios, portfolio evolution,



and regulatory/accounting updates.
- Perform portfolio monitoring activities, focusing on ECL drivers, staging allocation (Stage 1, 2, 3), and parameter evolution over time.
- Prepare reporting and documentation for Senior Management, including model performance, ECL dynamics, and key risk drivers.
- Ensure proper model governance and documentation, in line with IFRS 9 standards and internal policies.
- Promote best practices in IFRS 9 modeling and forecasting, supporting continuous improvement and knowledge sharing across the organization.

Skills & Competencies
- Strong knowledge of IFRS 9 accounting principles, including ECL methodology, staging criteria, and forward‑looking adjustments.
- Solid understanding of regulatory and accounting interactions (e.g. linkage between IFRS 9 and IRB frameworks).
- Technical proficiency in data management and modeling tools (primarily SAS).
- Strong analytical

Vedi l’offerta su Go Lavoro: golavoro.it/annuncio-lavoro/78cqye