Credit Risk Model Developer (IRB & IFRS9)

ING Italia; Lombardia; Hybrid; EUR 51,000 - 63,000; Full time

Benefits offered by this job

Flexible Smart Working

Meal vouchers

Health insurance

Pension fund

Diversity & Inclusion

Training opportunities

Birthday day off

Job summary

ING Italia is seeking a skilled model development professional to design, implement, and monitor AIRB and IFRS9 models for Mortgage and Consumer Lending portfolios in Milan. You will coordinate across validation, audit, ECB, and senior management to ensure regulatory compliance and robust risk parameter estimation.

The role emphasizes end-to-end model lifecycle, from development to deployment, with strong data management and cross-functional collaboration.

Qualifications

• Strong experience in credit risk modelling within banking environments.
• Proven experience in AIRB and/or IFRS9 methodologies, including PD, LGD and EAD modelling.
• Good understanding of ECB and EBA requirements related to IRB and IFRS9 frameworks.
• Experience interacting with Validation, Internal Audit and regulators and senior management is a strong advantage.
• Knowledge of Mortgage and Consumer Lending portfolios is preferred.

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 parameter evolution.
• Prepare reports for Senior Management on model performance and corrective actions.
• Ensure integration of models into business processes and promote knowledge sharing across the organization.
• Act as a change agent, fostering awareness and adoption of advanced risk modeling practices.

Skills

Credit risk modelling

AIRB/IFRS9 modelling

PD/LGD/EAD modelling

ECB/EBA knowledge

Regulatory interactions

Data management

SAS

Python/MATLAB

Stakeholder collaboration

Tools

SAS

Python

MATLAB

Job description

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 parameter evolution.
• Prepare reports for Senior Management on model performance and corrective actions.
• Ensure integration of models into business processes and promote knowledge sharing across the organization.
• Act as a change agent, fostering awareness and adoption of advanced risk modeling practices.

Required skills

• Strong experience in credit risk modelling within banking environments.
• Proven experience in AIRB and/or IFRS9 methodologies, including PD, LGD and EAD modelling.
• Good understanding of ECB and EBA requirements related to IRB and IFRS9 frameworks.
• Experience interacting with Validation, Internal Audit and regulators and senior management is considered a strong advantage.
• Knowledge of Mortgage and Consumer Lending portfolios is preferred.
• Technical proficiency in data management and modeling tools (SAS, Python, MATLAB, etc.).
• Strong collaboration skills with internal stakeholders (IT, Data Management, Finance, etc.).
• Proven team coordination, time management, and organizational skills.
• Fluent in English, both written and spoken.

Required Experience

• Minimum 4 years of experience in IRB/IFRS9 model development or validation for retail portfolios.
• Solid background in quantitative risk modeling and regulatory compliance.

Contract offer

Working conditions

Permanent employment contract

Working hours

Full time (37 hours per week)

Applicable Collective Labour Agreement

National Collective Labour Agreement for employees in the credit sector (NCLA)

Location

Milan

Annual base salary starting from

57.000€

Variable remuneration

in line with the applicable remuneration policies (with a target based on the role, outcomes linked to the Group, Business line/function, and individual performance)

Our compensation approach is built on objective, gender-neutral criteria aligned with the role’s core requirements. That said, we believe talent goes beyond any framework: your total reward package will be tailored to reflect your unique experience, skills, and potential, ensuring we fully recognize the value you bring.

The benefits of joining ING

In addition to being a part of a great team, working in a fun and innovative environment, we offer:

• Flexible Smart Working
• Competitive base salaries and performance-based bonuses
• Meal vouchers and corporate restaurant and bar
• Health insurance and Accident insurance
• Pension fund and welfare plan
• Diverse cultures & Innovative mindsets
• International Environment and Talent Program
• Commitment to sustainabilityLots of training development opportunities to help you grow
• Lots of moments dedicated to physical and mental well-being
• A special day off when it is your birthday: we call it #doyourbirthday!
• And of course, we can’t forget free water & coffee at the office!

About ING

ING offers many opportunities to build a diverse and rewarding career. You will be joining an international innovative digital bank, the first in Italy to adopt a fully flexible smart working model, and you will be working in a stimulating environment where you can grow both as an individual and as a professional.

Our purpose - empowering people to stay a step ahead in life and in business - represents our belief in people’s potential. We don’t judge, coach or to tell people how to live their lives. We empower people and businesses to realize their own vision for a better future.

Our Commitment

Diversity is a fundamental element of our corporate culture, and we are fully committed to creating a safe and inclusive environment, based on mutual respect and the value of diversity, offering equal job opportunities to all qualified candidates.