Pillar 1 Credit Risk Modeller — Quantitative Expert

Mediobanca; Milano; On-site; 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. The role involves developing, calibrating and monitoring credit risk models across multiple asset classes for regulatory and accounting purposes.

Strong SAS and Python skills, plus 3–5 years in finance, are required. The position offers a permanent contract, with English fluency and a clear growth path in a leading Italian bank.

Qualifications

• Experience: Approximately 3 to 5 years of relevant experience in leading financial institutions, fintech companies or consulting firms.

Responsibilities

• Develop, calibrate and monitor credit risk models and parameters across multiple asset classes, for regulatory and accounting purposes.
• Quantify RWA impacts arising from model changes, recalibrations, portfolio developments and regulatory scenarios, and present the underlying analyses to internal and external stakeholders.
• Monitor the models' performance over time and create insightful reports.
• Collaborate with model development teams across other Group entities and contribute to the definition of common frameworks for cross-entity credit risk methodology topics.

Skills

Problem solving

Communication skills

English language

Education

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

Tools

SAS programming

Python

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. The role involves developing, calibrating and monitoring credit risk models across multiple asset classes for regulatory and accounting purposes.

Strong SAS and Python skills, plus 3–5 years in finance, are required. The position offers a permanent contract, with English fluency and a clear growth path in a leading Italian bank.