Senior/Lead Data Scientist (Credit Risk Modeling)

Location: Milan, Italy

Salary: €65,133 – €93,142

Company

A leading global fintech company specializing in Buy Now, Pay Later (BNPL) and consumer credit services.

What you will do

• Design and maintain real-time Probability of Default (PD) models for credit scoring and portfolio valuation.
• Integrate models into frameworks for underwriting and economic return optimization.
• Develop calibration frameworks and ensure compliance with regulatory and fairness standards.
• Explore novel methodologies, including LLMs for feature engineering and explainability.
• Collaborate with cross-functional teams to translate modeling insights into strategic credit policies.
• Mentor junior team members and contribute to the long-term modeling vision.

Requirements

• 5+ years' experience in credit risk modeling for consumer lending, credit cards, or BNPL.
• Deep proficiency in PD model development, validation, and calibration techniques.
• Advanced Python and SQL skills (XGBoost, scikit-learn, pandas, MLFlow).
• Experience with explainability frameworks such as SHAP, LIME, or PDP.
• Ability to communicate technical concepts clearly and influence business decisions.
• CV must be provided in English.

Nice to have

• Experience using LLMs to extract features from unstructured data.
• Knowledge of integrating third-party credit bureau data into production models.
• Understanding of champion/challenger model frameworks and A/B testing infrastructure.
• Exposure to loan-level economic modeling, including cost-of-capital and loss metrics.