Credit Risk Model Developer

About the role

You will join the Model Development Unit within the Retail Credit Risk area, contributing to the design, development, and enhancement of IFRS 9 impairment models for retail portfolios. Specifically, you will be part of the team responsible for estimating Expected Credit Losses (ECL), including PD, LGD, and EAD under forward-looking and accounting frameworks.

Responsibilities

• Develop and maintain IFRS 9 models, managing all project phases: initiation, data collection, model design, development, validation interaction, and audit/regulatory engagement when required.
• Design and calibrate point-in-time risk parameters and macroeconomic overlays, ensuring proper incorporation of forward-looking information and scenario-based approaches.
• Monitor model performance through backtesting, benchmarking, and sensitivity analysis, identifying model weaknesses and implementing enhancements when necessary.
• Define and execute remediation plans to address findings from Internal Validation, Audit, and external reviews.
• Support model implementation and production deployment, including test strategy definition, UAT execution, reconciliation checks, and issue resolution.
• Collaborate with key stakeholders (Finance, Accounting Policy, Risk, IT, Data Management) to ensure alignment between risk models and financial reporting requirements.
• Conduct impact analyses related to model changes, macroeconomic scenarios, portfolio evolution, and regulatory/accounting updates.
• Perform portfolio monitoring activities, focusing on ECL drivers, staging allocation (Stage 1, 2, 3), and parameter evolution over time.
• Prepare reporting and documentation for Senior Management, including model performance, ECL dynamics, and key risk drivers.
• Ensure proper model governance and documentation, in line with IFRS 9 standards and internal policies.
• Promote best practices in IFRS 9 modeling and forecasting, supporting continuous improvement and knowledge sharing across the organization.
• Skills & Competencies
• Strong knowledge of IFRS 9 accounting principles, including ECL methodology, staging criteria, and forward-looking adjustments.
• Solid understanding of regulatory and accounting interactions (e.g., linkage between IFRS 9 and IRB frameworks).
• Technical proficiency in data management and modeling tools (primarily SAS).
• Strong analytical skills, with ability to interpret macroeconomic scenarios and their impact on credit risk parameters.
• Excellent communication skills, with the ability to interact with Finance, Audit, Validation, and Senior Management.
• Proven collaboration skills with cross-functional teams (Risk, Finance, IT, Data).
• Strong organizational and project management capabilities.
• Fluent in English, both written and spoken.
• Required Experience
• Minimum 4 years of experience in IFRS 9 model development or validation, preferably on retail portfolios.
• Strong background in quantitative credit risk modeling, time-series analysis, and forecasting methodologies.
• Location: Milan (hybrid)
• About ING
• Our purpose - empowering people to stay a step ahead in life and in business - represents our belief in people's potential. We don't judge, coach or to tell people how to live their lives. We empower people and businesses to realize their own vision for a better future.
• Do you think you are "a step ahead"? Apply now!
• The benefits of joining ING
• In addition to being a part of a great team, working in a fun and innovative environment, we offer:
• Super flexible smart working
• Competitive base salaries and performance based bonuses
• Diverse cultures & Innovative mindsets
• International Environment
• Commitment to sustainability
• Lots of training development opportunities to help you grow
• Lots of moments dedicated to physical and mental well-being
• A special day off when it is your birthday: we call it #doyourbirthday!
• And of course we can't forget: free water & coffee at the office!
• Our Commitment
• Diversity is a fundamental element of our corporate culture, and we are fully committed to creating a safe and inclusive environment, based on mutual respect and the value of diversity, offering equal job opportunities to all qualified candidates.
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