AIRB Credit Risk Modelling

JR Italy; Lombardia; In loco; EUR 40.000 - 80.000; Tempo pieno

Descrizione del lavoro

An established industry player is seeking a Risk Management Specialist to enhance their team focused on AIRB model development. This role offers a unique opportunity to engage in international projects and innovative initiatives that leverage advanced algorithms and statistical models. The ideal candidate will have a strong academic foundation in quantitative disciplines and relevant experience in banking or consulting. Join a forward-thinking organization where your expertise will contribute to strategic expansions and impactful projects in risk management.

Competenze

• Strong academic background in quantitative fields.
• 3-5 years of experience in banking or consulting.

Mansioni

• Develop AIRB rating models (PD, LGD, EAD).
• Work on innovative projects involving advanced algorithms.

Conoscenze

SAS Programming

Statistical Modeling

Data Processing Languages

Credit Modeling Statistics

Fluency in English

Formazione

Degree in Statistics

Degree in Economics

Degree in Finance

Degree in Engineering

Degree in Mathematics

Descrizione del lavoro

Compasso Banca S.p.A. - Gruppo Mediobanca

Location: Lombardia, Italy

Position: Risk Management Specialist - AIRB Model Development

We are seeking a professional to join the Risk Management Department, focusing on the development of AIRB rating models (PD, LGD, and EAD).

This role supports a strategic expansion of our team, including international projects. The selected candidate will work on innovative projects involving advanced algorithms and statistical models.

Ideal Candidate: Holds a strong academic background in statistics, economics, finance, engineering, physics, mathematics, or similar quantitative fields.

Experience in programming with SAS, along with familiarity with data processing languages and credit modeling statistics, especially related to retail segments, is essential for quick integration into project activities.

Additional valued skills include:

• Knowledge of regulatory frameworks related to AIRB systems (e.g., CRR3, EBA Guidelines, EGIM) or default definitions
• Understanding of credit acceptance and management processes
• Awareness of regulatory approaches to credit risk measurement (stress testing, RAF, provisioning), risk/reward measures, traditional or SRT securitizations, or financial risk concepts

Fluency in English and the ability to operate independently within an organized environment are required.

We are targeting professionals with 3-5 years of experience in banking or consulting, including participation in inspections by JST or model validation projects or TRIM, specifically on quantitative topics.

Requisite qualifications will be assessed based on experience.