I'm done. Still not completely happy; the shadows in the skin are a bit too hard imo, but overall I'm pleased with the result.
Full disclosure:
For the skin I tweaked the lemon material from the CMV from Reynante Martinez, https://www.artstation.com/reynante and for the fur I did the same with fur01 from the CMV. I also made use of the Pro Lighting Studio of Andrew Price https://www.artstation.com/andrewprice
To get to this result the materials needed a lot of tweaking, but it was very nice to have a high quality base to work from.
The fur is composed of 11 separate slots, grooming them to satisfaction took the most work.
I left the wips in here, to show the progress.

By the way: these rhinos are that scruffy looking ;-) the problem regarding the fur is more in the on-even patches and being too curly sometimes