Credit Risk Model Developer (IRB & IFRS9)

Experteer Italy; Cusano Milanino; Hybrid; EUR 90,000 - 130,000; Full time

Benefits offered by this job

Flexible Smart Working

Competitive base salary and bonuses

Health and accident insurance

Pension fund and welfare plan

Training and development opportunities

Birthday day off

Job summary

Experteer Italy is seeking an experienced Model Developer in Retail Credit Risk to design and monitor AIRB and IFRS9 models for Mortgage and Consumer Lending. You will support regulatory interactions, model governance and the full lifecycle from development to production deployment.

The role requires strong quantitative risk modelling skills, ECB/EBA knowledge, and collaboration with IT and validation teams in a global, learning-focused environment.

Qualifications

• 4+ years in IRB/IFRS9 model development/validation for retail portfolios
• Strong background in quantitative risk modelling and regulatory compliance
• Experience with AIRB and/or IFRS9 methodologies (PD, LGD, EAD)
• Fluent in English (written and spoken) and able to collaborate with regulators

Responsibilities

• Lead development, maintenance and monitoring of AIRB and IFRS9 models for Mortgage and Consumer Lending portfolios
• Develop PD, LGD and EAD models under AIRB; IFRS9 risk parameter models
• Ensure compliance with ECB, EBA and Group model risk management requirements; support approvals and regulatory inspections
• Monitor model performance via backtesting and implement corrective actions
• Define action plans to address validation findings and regulatory feedback
• Support implementation and production deployment including test strategy and result verification
• Collaborate with Internal Validation, Audit, ECB ensuring timely adoption of recommendations
• Perform ad-hoc analyses (impact, sensitivity) for forecasting and model changes

Skills

AIRB/IFRS9 models

PD

LGD

EAD

SAS

Python

MATLAB

Regulatory compliance

Backtesting

Model governance

Tools

SAS

Python

MATLAB

Job description

Join the Model Development Unit in Retail Credit Risk to design and monitor risk models for retail portfolios. You will work on AIRB and IFRS9 models for Mortgage and Consumer Lending, supporting regulatory interactions and model governance. The role spans the full model lifecycle—from development to production deployment and validation responses. You’ll collaborate with internal teams and regulators to ensure robust, compliant risk parameter modeling and impactful business decisions. This position offers a chance to shape risk practices in a digital, international bank with a strong focus on continuous learning.

• Flexible Smart Working
• Competitive base salary and performance-based bonuses
• Health insurance and accident insurance
• Pension fund and welfare plan
• Training and development opportunities
• Birthday day off (#doyourbirthday)
• Lead development, maintenance and monitoring of AIRB and IFRS9 models for Mortgage and Consumer Lending portfolios
• Develop PD, LGD and EAD models under AIRB; IFRS9 risk parameter models for Mortgages and Consumer Lending
• Ensure compliance with ECB, EBA and Group model risk management requirements; support approvals and regulatory inspections
• Monitor model performance via backtesting and implement corrective actions
• Define action plans to address validation findings and regulatory feedback
• Support implementation and production deployment including test strategy and result verification
• Collaborate with Internal Validation, Audit, ECB ensuring timely adoption of recommendations
• Perform ad-hoc analyses (impact, sensitivity) for forecasting, new products, and model changes
• Integrate models into business processes and promote knowledge sharing across the organization
• Act as change agent to promote advanced risk modeling practices
• Strong experience in credit risk modelling within banking environments
• Proven experience in AIRB and/or IFRS9 methodologies (PD, LGD, EAD)
• Good understanding of ECB and EBA requirements related to IRB and IFRS9
• Experience with Validation, Internal Audit and regulator interactions is a plus
• Knowledge of Mortgage and Consumer Lending portfolios preferred
• Technical proficiency in data management and modeling tools (SAS, Python, MATLAB)
• Strong collaboration with IT, Data Management, Finance, etc.
• Proven team coordination, time management and organizational skills
• Fluent in English (written and spoken)
• Minimum 4 years in IRB/IFRS9 model development/validation for retail portfolios
• Solid background in quantitative risk modelling and regulatory compliance