Credit Risk Model Developer

Questa posizione è in ING

Il processo di selezione sarà interamente gestito ING.

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Activities: You will join the Model Development Unit within the Retail Credit Risk area, contributing to the design and enhancement of risk models for retail portfolios. Specifically, you will be part of the team responsible for developing models for calculating risk parameters (PD, LGD, EAD) under both IRB and IFRS9 frameworks. You will play a key role in the development, maintenance and monitoring of regulatory and accounting risk models for Retail Banking portfolios. The role covers AIRB models (PD, LGD, EAD) for the Mortgage portfolio as well as IFRS9 models for both Mortgages and Consumer Lending portfolios. The successful candidate will contribute across the full model lifecycle, from methodology implementation and model development to monitoring, regulatory interactions and implementation oversight. Responsibilities:

• Lead the development, maintenance and monitoring of AIRB and IFRS9 models covering Mortgage and Consumer Lending portfolios.
• Develop and maintain PD, LGD and EAD models for Mortgage portfolios under the AIRB framework, as well as IFRS9 risk parameter models for Mortgages and Consumer Lending portfolios.
• Ensure compliance with ECB, EBA and Group model risk management requirements, supporting model approvals, annual reviews, remediation plans and regulatory inspections.
• Monitor model performance through periodic backtesting and implement corrective actions when necessary.
• Define and execute action plans to address validation findings and regulatory feedback.
• Support implementation and production deployment, including test strategy definition, result verification, and corrective measures.
• Collaborate with internal and external assessment teams (Internal Validation, Audit, ECB) ensuring timely adoption of recommendations.
• Conduct ad-hoc qualitative and quantitative analyses, including impact assessments and sensitivity analyses for forecasting, new product introduction, pricing, and model changes.
• Perform portfolio monitoring with a focus on risk parameter evolution.
• Prepare reports for Senior Management on model performance and corrective actions.
• Ensure integration of models into business processes and promote knowledge sharing across the organization.
• Act as a change agent, fostering awareness and adoption of advanced risk modeling practices.

Required skills:

• Strong experience in credit risk modelling within banking environments.
• Proven experience in AIRB and/or IFRS9 methodologies, including PD, LGD and EAD modelling.
• Good understanding of ECB and EBA requirements related to IRB and IFRS9 frameworks.
• Experience interacting with Validation, Internal Audit and regulators and senior management is considered a strong advantage.
• Knowledge of Mortgage and Consumer Lending portfolios is preferred.
• Technical proficiency in data management and modeling tools (SAS, Python, MATLAB, etc.).
• Strong collaboration skills with internal stakeholders (IT, Data Management, Finance, etc.).
• Proven team coordination, time management, and organizational skills.
• Fluent in English, both written and spoken.

Required Experience:

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

Contract offer: Working conditions: Permanent employment contract Working hours: Full time (37 hours per week) Applicable Collective Labour Agreement: National Collective Labour Agreement for employees in the credit sector (NCLA) Location: Milan Annual base salary starting from : 57.000€ Variable remuneration: in line with the applicable remuneration policies (with a target based on the role, outcomes linked to the Group, Business line/function, and individual performance) Our compensation approach is built on objective, gender-neutral criteria aligned with the role’s core requirements. That said, we believe talent goes beyond any framework: your total reward package will be tailored to reflect your unique experience, skills, and potential, ensuring we fully recognize the value you bring. The benefits of joining ING In addition to being a part of a great team, working in a fun and innovative environment, we offer:

• Flexible Smart Working
• Competitive base salaries and performance-based bonuses
• Meal vouchers and corporate restaurant and bar
• Health insurance and Accident insurance
• Pensio