Credit Risk Modeller — Regulatory RWA & IFRS9 Focus

Mediobanca; Lombardia; Remote; EUR 35,000 - 42,000; Full time

Job summary

Mediobanca is seeking an experienced Quantitative Credit Risk Modeller to join the Pillar 1 Credit Risk Methodologies team within the Risk Management Department in Lombardia. The role involves developing and monitoring internal credit risk models across asset classes and presenting RWA impacts to stakeholders.

Requirements include 3–5 years in a financial institution or consulting, advanced SAS programming with Python preferred, and fluent English.

Qualifications

• 3–5 years of experience in leading financial institutions, fintech companies or consulting firms.
• Advanced SAS programming; Python strongly preferred.
• Strong knowledge of the applicable credit risk regulatory framework (CRR3, EBA Guidelines, ECB Guide to Internal Models) and familiarity with IFRS 9.
• Degree in a quantitative subject or economics/finance with a strong quantitative background.
• Problem solving aptitude and strong analytical skills.
• Fluent English (written and oral).

Responsibilities

• Develop, calibrate and monitor credit risk models across multiple asset classes for regulatory and accounting purposes.
• Quantify RWA impacts from model changes and present analyses to internal and external stakeholders.
• Monitor model performance over time and create insightful reports.
• Collaborate with model development teams and contribute to cross-entity credit risk methodologies.

Skills

SAS programming

Python

Credit risk modelling

Communication skills

English language

Education

Degree in a quantitative subject or economics/finance with strong quantitative background

Job description

Mediobanca is seeking an experienced Quantitative Credit Risk Modeller to join the Pillar 1 Credit Risk Methodologies team within the Risk Management Department in Lombardia. The role involves developing and monitoring internal credit risk models across asset classes and presenting RWA impacts to stakeholders.

Requirements include 3–5 years in a financial institution or consulting, advanced SAS programming with Python preferred, and fluent English.