credit risk model developer
6 giorni fa
Our client is a leading International company in the leasing sector. For the strengthening of its local structure, it has asked us to search for the following professional figure:
CREDIT RISK MODEL DEVELOPER
The Risk Model Developer will be responsible for assisting the manager in the design, development, and validation of IRB models (PD, LGD healthy and default) and IFRS 9 expected credit loss models and continuous enhancement of the IRB framework and strategy for the Italian entities.
Main responsibilities
:
- Develop and Maintain Credit Risk Models
- Perform Data Analysis
- Model Validation and Performance Monitoring
- Support Regulatory Reviews and Internal Audits
- Collaborate with Cross-Functional Teams
- Model Governance and Change Management
Requirements
:
- Master's degree in Statistics, Mathematics, Economics, Engineering, or related quantitative disciplines.
- Credit Risk Modelling: Minimum 2–3 years of experience in developing Experience with IRB (PD, LGD, EAD) and IFRS 9 models (junior).
- Model Validation: Knowledge of validation techniques, backtesting, and benchmarking
- Fluent in English (written, spoken, comprehension, and reading)
- Statistical Analysis: Strong foundation in statistical techniques and quantitative modeling
- Programming & Tools: SAS+SQL (data extraction, transformation, and querying)
- Data Analysis: Ability to work with large datasets and perform exploratory analysis
Workplace:
Milan
.
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