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.