"You would be better off bending plasterboard around your studs then skimming it.
Depending on how tight the curve is you can either wet the outside surface of the plasterboard while it rests against a wall, this will make it sag, then carry on bending over the studs.
If its a tight curve cut parallel lines every 2" with a knife through the paper again on the outside surface then bend to the studs.
If you don't want to use plasterboard then flexi ply would be better than flexi MDF as the ply is WBP bonded. Flexi MDF is not made in moisture resistant or exterior grades."
Another option would be stainless steel rib-lath on studwork, then render this, no problem if it gets damp
Jason
I use a lot of MDF of all different types but I would not use any close to a shower. If it starts to absorb water at any time in the future you will have to replace it
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