IRB & IFRS9 Credit Risk Model Architect

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

Job summary

ING Italia is seeking a skilled risk model developer to design, implement, and monitor AIRB and IFRS9 models for Retail Banking portfolios. You will develop PD, LGD and EAD models for Mortgage portfolios under AIRB, and IFRS9 models for Mortgages and Consumer Lending, ensuring compliance with ECB/EBA guidelines and regulatory reviews.

You will oversee model validation, backtesting, and collaboration with Internal Validation, Audit and regulators, driving improvements and timely adoption of

Qualifications

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

Responsibilities

• Lead development, maintenance and monitoring of AIRB and IFRS9 models for Mortgage and Consumer Lending portfolios.
• Develop and maintain PD, LGD and EAD models for Mortgage portfolios under AIRB; IFRS9 risk parameter models for Mortgages and Consumer Lending.
• Ensure compliance with ECB, EBA and Group model risk management requirements; support model approvals, annual reviews and regulatory inspections.
• Monitor model performance through backtesting and implement corrective actions.
• Define and execute action plans to address validation findings and regulatory feedback.
• Support implementation and production deployment, including test strategy definition and result verification.
• Collaborate with Internal Validation, Audit, ECB ensuring timely adoption of recommendations.
• Prepare reports for Senior Management on model performance and corrective actions.

Skills

Credit risk modelling

AIRB/IFRS9 methods

ECB/EBA requirements

Regulatory interactions

Mortgage & Consumer Lending knowledge

Data modelling tools

Internal collaboration

Team coordination

English fluency

Tools

SAS

Python

MATLAB

Job description

ING Italia is seeking a skilled risk model developer to design, implement, and monitor AIRB and IFRS9 models for Retail Banking portfolios. You will develop PD, LGD and EAD models for Mortgage portfolios under AIRB, and IFRS9 models for Mortgages and Consumer Lending, ensuring compliance with ECB/EBA guidelines and regulatory reviews.

You will oversee model validation, backtesting, and collaboration with Internal Validation, Audit and regulators, driving improvements and timely adoption of