Credit risk model developer

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

You will join the Model Development Unit within the Retail Credit Risk area, contributing to the design and enhancement of risk models for retail portfolios. Specifically, you will be part of the team responsible for developing models for calculating risk parameters (PD, LGD, EAD) under both IRB and IFRS9 frameworks. Key Responsibilities Develop and maintain AIRB and IFRS9 models, managing all project phases: initiation, data collection, model development, validation interaction, and regulatory engagement (ECB when required). Monitor model performance through periodic backtesting and implement corrective actions when necessary. Define and execute action plans to address validation findings and regulatory feedback. Support implementation and production deployment, including test strategy definition, result verification, and corrective measures. Collaborate with internal and external assessment teams (Internal Validation, Audit, ECB) ensuring timely adoption of recommendations. Conduct ad-hoc qualitative and quantitative analyses,



including impact assessments and sensitivity analyses for forecasting, new product introduction, pricing, and model changes. Perform portfolio monitoring with a focus on risk parameter evolution. Prepare reports for Senior Management on model performance and corrective actions. Ensure integration of models into business processes and promote knowledge sharing across the organization. Act as a change agent, fostering awareness and adoption of advanced risk modeling practices. Skills & Competencies Strong knowledge of EBA and IRB regulations (CRR, EBA guidelines, etc.). Technical proficiency in data management and modeling tools (SAS, Python, MATLAB, etc.). Excellent ability to interact with senior management, validation teams, and supervisory authorities. Strong collaboration skills with internal stakeholders (IT, Data Management, Finance, etc.). Proven team coordination, time management, and organizational skills. Fluent in English, both wri

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