Credit Risk Model Developer

Vedi l’offerta su Go Lavoro: golavoro.it/annuncio-lavoro/8cwqxa

Activities: 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. You will play a key role in the development, maintenance and monitoring of regulatory and accounting risk models for Retail Banking portfolios.
The role covers AIRB models (PD, LGD, EAD) for the Mortgage portfolio as well as IFRS9 models for both Mortgages and Consumer Lending portfolios. The successful candidate will contribute across the full model lifecycle, from methodology implementation and model development to monitoring, regulatory interactions and implementation oversight.
Responsibilities:
Lead the development, maintenance and monitoring of AIRB and IFRS9 models covering Mortgage and Consumer Lending portfolios.
Develop and maintain PD, LGD and EAD models for Mortgage portfolios under the AIRB framework,



as well as IFRS9 risk parameter models for Mortgages and Consumer Lending portfolios.
Ensure compliance with ECB, EBA and Group model risk management requirements, supporting model approvals, annual reviews, remediation plans and regulatory inspections.
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 par

Vedi l’offerta su Go Lavoro: golavoro.it/annuncio-lavoro/8cwqxa