Credit Risk Model Developer

Job description

Poste et missions

The Risk Model Developer is 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 BPCE entities.
The candidate should be able to carry out data analysis of the historical portfolio and have skills in the
implementation of statistical and quantitative models. The risk model developer must prepare documentation that
complies with regulatory requirements from the EBA, ECB and Bank of Italy.
On this role, the resource is support for internal validation process and regulatory inspections.
The risk model developer supports the responsible on model maintenance and updates based on regulatory
developments and portfolio evolution.
On this function, it is needed the collaboration with Risk Management, Finance, IT, Internal Audit, and Compliance
teams.

Essential duties and responsibilities

Develop and Maintain Credit Risk Models
In collaboration with the responsible, design and implement IRB models (PD, LGD, EAD) and IFRS9 expected
credit loss models; ensure models align with regulatory and Group standards.

Perform Data Analysis
Extract, clean, and analyse large datasets to support model development. Use historical credit data for
calibration, estimation, and validation.

Model Validation and Performance Monitoring
Conduct statistical tests, benchmarking, and backtesting. Monitor ongoing model performance and support
recalibration when needed.

Support Regulatory Reviews and Internal Audits
Assist with internal validation processes. Provide support during regulatory inspections and respond to
findings or requests.

Collaborate with Cross-Functional Teams
Work closely with Risk Management, IT, Finance, Internal Audit, and Compliance. Translate business
requirements into technical modelling solutions.

Model Governance and Change Management
Follow internal governance processes for model approval and change control. Maintain version control and
documentation of model changes.

Stay Updated on Regulatory and Methodological Developments
Monitor updates to relevant regulatory guidelines (CRR, EBA, IFRS 9). Propose improvements and
enhancements to modelling practices.

Profil et compétences requises

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).
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)
 Model Validation: Knowledge of validation techniques, backtesting, and benchmarking
 Data Analysis: Ability to work with large datasets and perform exploratory analysis
 Model Documentation: Ability to produce regulatory-compliant model documentation
 Regulations: Understanding of CRR/CRD, EBA Guidelines, Basel framework, IFRS 9
 Governance: Awareness of model risk management and audit/compliance requirements
 Strategic thinking and sound decision-making under pressure
 Excellent analytical and problem-solv