Credit Risk Model Engineer (IRB/IFRS9)

Tailor&Fox Srl; Milano; In loco; EUR 55.000 - 75.000; Tempo pieno

Descrizione del lavoro

Tailor&Fox Srl in Milan seeks a Credit Risk Model Developer to design, develop and validate IRB and IFRS 9 models for Italian entities. The role focuses on continuing enhancement of the IRB framework and regulatory compliance.

Responsibilities include developing and maintaining credit risk models, conducting data analysis, model validation and monitoring, supporting regulatory reviews and audits, collaborating across functions, and ensuring governance and change management.

Competenze

• Master’s degree in Statistics, Mathematics, Economics, Engineering, or related quantitative disciplines.
• Credit risk modelling: 2–3 years in IRB, PD/LGD/EAD, IFRS 9 models (junior).
• Model validation: knowledge of validation techniques, backtesting, benchmarking.
• Fluent in English (written, spoken, comprehension, reading).
• Statistical analysis: strong foundation in statistical techniques and quantitative modeling.
• Programming & Tools: SAS+SQL (data extraction, transformation, querying).
• Data analysis: work with large datasets and perform exploratory analysis.

Mansioni

• Develop and Maintain Credit Risk Models
• Perform Data Analysis
• Model Validation and Performance Monitoring
• Support Regulatory Reviews and Internal Audits
• Collaborate with Cross-Functional Teams
• Model Governance and Change Management

Conoscenze

Credit risk modelling

IRB models (PD, LGD, EAD)

IFRS 9 models

Statistical analysis

Data analysis

Formazione

Master’s degree in Statistics, Mathematics, Economics, Engineering, or related quantitative disciplines.

Strumenti

SAS

SQL

Descrizione del lavoro

Tailor&Fox Srl in Milan seeks a Credit Risk Model Developer to design, develop and validate IRB and IFRS 9 models for Italian entities. The role focuses on continuing enhancement of the IRB framework and regulatory compliance.

Responsibilities include developing and maintaining credit risk models, conducting data analysis, model validation and monitoring, supporting regulatory reviews and audits, collaborating across functions, and ensuring governance and change management.