Quantitative Credit Risk Modeller

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 an established, specialized financial operator operating in Wealth Management, Corporate & Investment Banking and Consumer Finance, with an unparalleled reputation in the Italian market, consolidated by an acknowledged responsible approach to banking, the high professionalism of staff, and the excellence of the services offer.

Mediobanca is looking for an experienced Quantitative Credit Risk Modeller to join the Pillar 1 Credit Risk Methodologies team within the Risk Management Department. The role combines quantitative modelling, regulatory expertise and business impact, with direct involvement in the development, monitoring and evolution of internal credit risk models across multiple asset classes.

Role and 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.

• Experience: Approximately 3 to 5 years of relevant experience in leading financial institutions, fintech companies or consulting firms.
• Technical Expertise: Advanced SAS programming skills are required, proficiency in Python is strongly preferred.
• Regulatory Knowledge: Strong knowledge of the applicable credit risk regulatory framework, including CRR3, EBA Guidelines and the ECB Guide to Internal Models, together with familiarity with IFRS 9.
• Educational Background: Degree in a quantitative subject or in economics/finance with a strong quantitative background.
• Problem-Solving Skills: Problem solving aptitude, critical and logical thinking skills.
• Communication Skills: Ability to convey technical analyses clearly to non-technical stakeholders.
• Language Proficiency: Fluency in English (written and oral).

What We Offer:

Join a highly specialized team working on credit risk models with direct impact on capital requirements and risk management decisions. You will gain hands‑on exposure across the full model lifecycle, tackle complex quantitative and regulatory challenges, and collaborate with senior stakeholders and teams across the Group. The role offers strong technical ownership, continuous learning and the opportunity to contribute to high‑impact projects within a growing banking group.

In line with Pay Transparency regulations, please be informed that the contract type envisaged for this role is a permanent contract, with a minimum gross annual salary of €38.395,38 and contractual classification Employee, Area III, Level II ("Impiegato, III Area, II Livello") under the national collective labour agreement for the banking/credit sector, in addition to which benefits and the possibility of accessing the incentive system apply, as provided for under the remuneration policies in force from time to time, which can be consulted on Mediobanca's website.

Diversity & Inclusion are core values for Mediobanca. All applications are welcome; we value age, background, ability, personal orientation and gender expression diversity.