Are you a Quantitative Analyst with strong expertise in credit risk modelling, particularly IRB (Internal Ratings-Based) models? Join a leading international consultancy in Madrid, where you’ll work on high-impact projects with top-tier financial institutions across Europe.
Madrid, Spain
What You’ll Do:
* Develop, validate, and enhance IRB credit risk models (PD, LGD, EAD) in line with regulatory requirements (EBA/ECB).
* Lead model implementation and documentation aligned with Basel III and CRR/CRR2.
* Work closely with clients to understand regulatory expectations and support internal and external audit processes.
* Provide advisory on model risk management frameworks and regulatory capital optimisation.
What We’re Looking For:
* Strong academic background in Quantitative Finance, Statistics, Mathematics, or a related field (MSc/PhD preferred).
* 5+ years' experience in credit risk modelling, particularly IRB models.
* Proficient in Python, R, SAS, or similar statistical tools.
* Solid understanding of European regulatory landscape (ECB, EBA, PRA).
* Excellent communication and client-facing skills.
* Fluent in English and Spanish.