Model Developer

5 dni temu

Łódź, Łódź Voivodeship, Polska Commerzbank AG Pełny etat

Join our team as a Model Developer

Together with your team you will be doing:

  • Development and maintenance of AIRB/IFRS9 credit risk models (PD, LGD, CCF) for multiple portfolios or operational risk and climate risk models.
  • Group-wide methodological responsibility for quantitative credit risk or operational and climate risk forecasting models.
  • Forward-looking construction of a cross-functional methodology architecture.
  • Estimation and optimization of separation power, quality of quantification and stability of forecasts and comprehensive uniform calibration on Basel compliant definition of default.
  • Ensuring compliance with regulatory/accounting standard requirements (Basel / IFRS9 etc.) and EBA GL.
  • Programming of prototypes for impact and scenario analysis in different programming languages (R, Python, SAS, SQL).
  • Data preparation, statistical and empirical investigations, handling of very large amounts of data, their aggregation and evaluation.
  • Preparation of technical specifications, presentations, and documentation of quantitative credit risk forecasting models.
  • Internal and external communication, including auditors, regulators, external partners, and rating agencies.

Which technology & skills are important for us?

  • Master's degree with very good grades in mathematics, physics, econometrics, or related fields.
  • Very good mathematical-statistical skills as well as knowledge of the mathematical-statistical basis of model development (multivariate statistical methods, stochastic processes, etc.).
  • Minimum 3 years of professional experience in banking, preferably within risk modelling or validation.
  • Very good knowledge of data modelling software and coding (Python/R, SAS/SQL) with experience in analysis of huge data sets.
  • For credit risk model developers: knowledge of regulations from credit risk models area (CRR, EBA GL, IFRS9).
  • English C1 level.

How?
Hybrid on Wersalska 6 street (Łódź)

Commerzbank is a leading international commercial bank with branches and offices in almost 50 countries. The world is changing, becoming digital, and so we are. We are leaving the traditional bank behind us and are choosing to move forward as a digital enterprise. This is exactly why we need talented people who will join us on this journey. We work in inter-locational and international teamwork in agile methodologies.

Description of the cluster:

  • Development, roll-out and maintenance of group-wide models for credit risk, operational risk, capital requirements, and stress-testing (incl. tight monitoring of model performance).
  • Implementation of models in calculation kernels (e.g. rating models, RWA-calculation, C-VaR, LGD-Service, OpRisk and Stress).
  • Specification and implementation of rating tools as well as other central risk applications – used mainly by own Front-Ends in the credit process or in online applications.
  • Calculation of the economic capital requirements (e.g. Credit Portfolio Model, AMA for OpRisk, business- and physical asset risk - incl. stressed conditions).
  • Basis calculation for risk provisions (especially IFRS9 Stage Assignment and Lifetime-EL) and center of competency for Asset Backed Securities.
  • IT-solutions for recording, management, and calculation of the operational risk, tools for and management of the internal control system.
  • Operational stability of the IT-Applications (e.g. incidents or delays) but also optimization of IT-platform as well as minimization of manual processes.
  • Tailor-made risk analysis (e.g. scenarios, impact analysis, Ad-Hoc requests) in particular for the management of the current COVID-19 crisis. Professional response on customer requests.
  • Main contact for regulators, chartered accountant, and internal auditors concerning model development and implementation.
  • Implementation of important regulatory and strategic initiatives: e.g. implementation and fulfillment of new regulatory requirements for AIRB rating models, acceleration of rating calculation, enablement of digital credit journey, improvement of credit decision and streamlining of credit processes.

What we offer?

Of course, we offer Development Plans for employees, Life insurance, flexible working hours, integration events and much more.

Important Please add the clause to your CV.

Please add the following clause to your application:
1. I consent to the processing of personal data contained in this document by Commerzbank Aktiengesellschaft with its registered office in Kaiserstrasse 16, 60311 Frankfurt am Main, Germany, operating through the Branch in Poland with its registered office in Łódź, 91-203 Łódź, ul. Wersalska 6, KRS 0000631053, for the implementation of the current recruitment process and for the future recruitment for a period of 6 months, in accordance with the Regulation of the European Parliament and of the Council (EU) 2016/679 of 27 April 2016 on the protection of individuals with regard to the processing of personal data the free flow of such data and the repeal of Directive 95/46 / EC (RODO) and in accordance with the Act of 10 May 2018 on the protection of personal data (Journal of Laws of 2018, item 1000). I provided my personal data voluntarily and I declare that they are truthful. I have the right to withdraw this consent at any time. The withdrawal of consent shall not affect the lawfulness of processing based on consent before its withdrawal.

2. I have read the content of the information clause, including information about the purpose and methods of processing personal data and the right to access my personal data and about the right to correct, rectify and delete it.

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