Senior Quantitative Credit Risk Modeller

Mediobanca; Milano; In loco; EUR 35.000 - 42.000; Tempo pieno

Descrizione del lavoro

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 and monitoring internal credit risk models across asset classes, with direct involvement in regulatory and accounting purposes.

Ideal candidates have 3–5 years of experience in large institutions, strong SAS programming skills, and fluency in English.

Competenze

• Advanced SAS programming skills are required.
• Python proficiency is strongly preferred.
• Strong knowledge of credit risk regulatory framework including CRR3, EBA Guidelines and ECB Guide to Internal Models, with IFRS 9 familiarity.

Mansioni

• Develop, calibrate and monitor credit risk models across multiple asset classes for regulatory and accounting purposes.
• Quantify RWA impacts from model changes, recalibrations, and portfolio developments; present analyses to stakeholders.
• Monitor models' performance over time and produce insightful reports.
• Collaborate with model development teams across Group entities to define cross-entity risk frameworks.

Conoscenze

SAS programming

Python

Regulatory knowledge

English fluency

Formazione

Quantitative degree

Descrizione del lavoro

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 and monitoring internal credit risk models across asset classes, with direct involvement in regulatory and accounting purposes.

Ideal candidates have 3–5 years of experience in large institutions, strong SAS programming skills, and fluency in English.