Senior IRB & IFRS9 Credit Risk Model Developer

Experteer Italy; Cusano Milanino; Hybrid; EUR 90,000 - 130,000; Full time

Benefits offered by this job

Flexible Smart Working

Competitive base salary and bonuses

Health and accident insurance

Pension fund and welfare plan

Training and development opportunities

Birthday day off

Job summary

Experteer Italy is seeking an experienced Model Developer in Retail Credit Risk to design and monitor AIRB and IFRS9 models for Mortgage and Consumer Lending. You will support regulatory interactions, model governance and the full lifecycle from development to production deployment.

The role requires strong quantitative risk modelling skills, ECB/EBA knowledge, and collaboration with IT and validation teams in a global, learning-focused environment.

Qualifications

• 4+ years in IRB/IFRS9 model development/validation for retail portfolios
• Strong background in quantitative risk modelling and regulatory compliance
• Experience with AIRB and/or IFRS9 methodologies (PD, LGD, EAD)
• Fluent in English (written and spoken) and able to collaborate with regulators

Responsibilities

• Lead development, maintenance and monitoring of AIRB and IFRS9 models for Mortgage and Consumer Lending portfolios
• Develop PD, LGD and EAD models under AIRB; IFRS9 risk parameter models
• Ensure compliance with ECB, EBA and Group model risk management requirements; support approvals and regulatory inspections
• Monitor model performance via backtesting and implement corrective actions
• Define action plans to address validation findings and regulatory feedback
• Support implementation and production deployment including test strategy and result verification
• Collaborate with Internal Validation, Audit, ECB ensuring timely adoption of recommendations
• Perform ad-hoc analyses (impact, sensitivity) for forecasting and model changes

Skills

AIRB/IFRS9 models

PD

LGD

EAD

SAS

Python

MATLAB

Regulatory compliance

Backtesting

Model governance

Tools

SAS

Python

MATLAB

Job description

Experteer Italy is seeking an experienced Model Developer in Retail Credit Risk to design and monitor AIRB and IFRS9 models for Mortgage and Consumer Lending. You will support regulatory interactions, model governance and the full lifecycle from development to production deployment.

The role requires strong quantitative risk modelling skills, ECB/EBA knowledge, and collaboration with IT and validation teams in a global, learning-focused environment.