AIRB Credit Risk Modelling

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

Descrizione del lavoro

An established industry player is looking for a skilled professional to join their Risk Management Department. This role focuses on developing AIRB rating models and involves working on innovative projects that utilize advanced algorithms and statistical models. The ideal candidate will have a strong academic background in quantitative fields and experience in banking or consulting. This is an exciting opportunity to contribute to strategic expansions and international projects within a dynamic environment. If you are passionate about risk management and possess the necessary skills, we encourage you to apply.

Competenze

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

Mansioni

• Develop AIRB rating models (PD, LGD, and EAD) for risk management.
• Work on innovative projects involving advanced algorithms and statistical models.

Conoscenze

SAS Programming

Data Processing Languages

Credit Modeling Statistics

Fluency in English

Formazione

Degree in Statistics

Degree in Economics

Degree in Finance

Degree in Engineering

Degree in Physics

Degree in Mathematics

Descrizione del lavoro

Compass Banca S.p.A. - Gruppo Mediobanca

Varese, Italy

Position Overview

We are seeking a candidate to join the Risk Management Department to develop AIRB rating models (PD, LGD, and EAD).

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

Candidate Profile

The ideal candidate has a strong academic background in statistics, economics, finance, engineering, physics, mathematics, or similar fields with a quantitative focus.

Experience in programming with SAS, familiarity with data processing languages, and knowledge of credit modeling statistics—preferably including retail segments—are essential for quick integration into project activities.

Preferred Skills and Knowledge

• Understanding of regulatory frameworks related to AIRB rating systems (such as CRR3, EBA Guidelines, EGIM) or default definitions
• Knowledge of credit acceptance and management processes
• Familiarity with regulatory approaches to credit risk measurement (stress testing, RAF, provisioning), risk/return measures, traditional securitizations, SRT, or financial risks

Fluency in English and the ability to work 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 validation projects of models or TRIM, focusing on quantitative aspects.

Qualifications will be assessed proportionally to experience.