Senior Credit Risk Model Developer (irb / Ifrs9)

SANTANDER CONSUMER BANK S.p.A

Madrid, Spain
Competitive salary; performance-based bonus; compr...
Hybrid
Irb and ifrs9 model development
Stress test scenario modeling
Pd lgd ead parameter estimation
The role involves building credit risk models under IFRS9 regulations and developing stress tests aligned with European Banking Authority requirements

Job Summary

  • The role involves building credit risk models under IFRS9 regulations and developing stress tests aligned with European Banking Authority requirements.
  • Candidates will utilize advanced techniques including R, Python, and machine learning to analyze macroeconomic, climate, and sectoral scenarios.
  • The position offers a hybrid work model, competitive compensation with bonuses, and access to global training platforms like Santander Open Academy.

Matching Summary

The role involves building credit risk models under IFRS9 regulations and developing stress tests aligned with European Banking Authority requirements.

Salary

Competitive salary; Performance-based bonus; Comprehensive benefits package including health, family support, and gym access

Skills & Requirements

Must-have

  • IRB and IFRS9 model development
  • Stress test scenario modeling
  • PD LGD EAD parameter estimation
  • R Python programming skills
  • Macroeconomic and econometric knowledge

Nice-to-have

  • Machine learning algorithm expertise
  • Climate risk modeling knowledge
  • Team coordination experience
  • Disruptive thinking mindset
  • Big data environment proficiency

Key Requirements

  • End-to-end IRB/IFRS9/Stress Test modeling experience
  • High level of English proficiency
  • Knowledge of accounting and prudential regulations

Work Rights

Not specified

Tailored Resume

Cover Letter