Job Description

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Key Responsibilities

• Develop, redevelop, and recalibrate IRB credit risk models (PD, LGD, EAD).
• Perform annual monitoring exercises and periodic model reviews.
• Conduct data analysis to support model development, monitoring, and investigations.
• Prepare and maintain high-quality model documentation for internal governance, validation, and regulatory review.
• Address findings and recommendations from model validation, internal audit, and regulators.
• Support model implementation and changes, working closely with IT and data teams.
• Contribute to methodological discussions and continuous improvement of IRB modelling standards.
• Act as a subject matter expert for assigned models, portfolios, or methodological topics.
• Support team members and help them grow in their role.

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Required Skills & Experience

• Master’s degree or PhD in a quantitative field (Econometrics, Statistics, Mathematics, Engineering, Physics, or similar).

• Experience in credit risk modelling within a banking or regulatory environment.

• Strong hands-on experience with IRB models (PD, LGD, EAD).

• Solid understanding of IRB regulatory frameworks and expectations.

• Familiarity with EBA / ECB guidelines and regulatory standards.

• Strong statistical and quantitative skills.

• Proficiency SQL, SAS, or similar modelling tools.

• Experience working with large, complex datasets.

• Ability to clearly explain technical topics to non-technical stakeholders.

• Strong ownership mindset and attention to detail.

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Nice to Have

• Experience with model validation or regulatory on-site inspections.

• Exposure to multi-portfolio IRB environments.

• Experience contributing to methodological or policy-driven changes.

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What We Offer

• A technically strong role in a core IRB regulatory modelling function.

• Exposure to senior risk stakeholders and regulatory interactions.

• A professional, technically focused working environment.

• Being part of an international, dynamic team.