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Quantitative Credit Risk Model Developer

2 tygodni temu

Łódź, Łódź Voivodeship, Polska Commerzbank branch in Poland Pełny etat
Job Description

We are seeking a highly skilled Quantitative Credit Risk Model Developer to join our team at the Commerzbank branch in Poland.

The ideal candidate will have strong mathematical-statistical skills, with expertise in data modeling software and coding (Python/R, SAS/SQL). Experience in analysis of huge data sets is essential.

  • Key Responsibilities:
  • 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.