Credit Risk Model Developer
Pubblicato il 13-08-2026 - Ing in Milano
The Role
You will join the Model Development Unit within the Retail Credit Risk area, contributing to the design, development, and enhancement of IFRS 9 impairment models for retail portfolios. Specifically, you will be part of the team responsible for estimating Expected Credit Losses (ECL), including PD, LGD, and EAD under forward-looking and accounting frameworks.
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 organiza