Quantitative credit risk modeller

Vedi l’offerta su Go Lavoro: golavoro.it/annuncio-lavoro/7p8v85

Mediobanca is an established, specialized financial operator operating in Wealth Management, Corporate & Investment Banking and Consumer Finance, with an unparalleled reputation in the Italian market, consolidated by an acknowledged responsible approach to banking, the high professionalism of staff, and the excellence of the services offer.

Mediobanca is looking for an experienced Quantitative Credit Risk Modeller to join the Pillar 1 Credit Risk Methodologies team within the Risk Management Department. The role combines quantitative modelling, regulatory expertise and business impact, with direct involvement in the development, monitoring and evolution of internal credit risk models across multiple asset classes.

Role and Responsibilities
- Develop, calibrate and monitor credit risk models and parameters across multiple asset classes, for regulatory and accounting purposes.
- Quantify RWA impacts arising from model changes, recalibrations, portfolio developments and regulatory scenarios, and present the underlying analyses to internal and external stakeholders.




- Monitor the models’ performance over time and create insightful reports.
- Collaborate with model development teams across other Group entities and contribute to the definition of common frameworks for cross-entity credit risk methodology topics.

Requirements
- Experience: Approximately 3 to 5 years of relevant experience in leading financial institutions, fintech companies or consulting firms.
- Technical Expertise: Advanced SAS programming skills are required, proficiency in Python is strongly preferred.
- Regulatory Knowledge: Strong knowledge of the applicable credit risk regulatory framework, including CRR3, EBA Guidelines and the ECB Guide to Internal Models, together with familiarity with IFRS 9.
- Educational Background: Degree in a quantitative subject or in economics/finance with a strong quantitative background.
- Problem-Solving Skills: Problem solving aptitude, critical and logical thinking

Vedi l’offerta su Go Lavoro: golavoro.it/annuncio-lavoro/7p8v85