Credit Risk Modeling Expert

3 dni temu


Łódź, Łódź Voivodeship, Polska Commerzbank Gruppe Pełny etat
Salary
We offer competitive salaries and a range of benefits to our employees.

Job Requirements

We are looking for a skilled Model Developer to join our team in Łódź. The successful candidate will be responsible for developing and maintaining group-wide models for credit risk, operational risk, capital requirements, and stress-testing.

  • 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

The ideal candidate should have a Master's degree in mathematics, physics, econometrics, or related fields, with very good mathematical-statistical skills and knowledge of the mathematical-statistical basis of model development.

A minimum of 3 years of professional experience in banking, preferably within risk modelling or validation, is required. Very good knowledge of data modelling software and coding (Python/R, SAS/SQL) with experience in analysis of huge data sets is also necessary.

Knowledge of regulations from credit risk models area (CRR, EBA GL, IFRS9) is required for credit risk model developers. English language proficiency at C1 level is also expected.


Requirements
  • Master 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

What We Offer
  • Medical care packages in Enel-med
  • Additional Generali insurance
  • Multisport Plus Card
  • Sodexo Lunch Pass card
  • Co-financing of glasses or contact lenses
  • PPE- Employee pension scheme, in which the employer's contribution is 4.5% of the monthly salary
  • Special offer at mBank for Commerzbank employees
  • Special offers within mBank group (including free access to Legimi ebooks, special offer in Orange, discounts in chosen car salons)
  • Access to the Speexx e-learning language platform
  • Access to O'Reilly and Clix (Linkedin Learning) e-learning platform
  • Internal training program Skills@work
  • External trainings
  • Interest groups and integration events
  • Relocation packages inside and outside Poland
  • Psychological support program for employee and family, additionally financial and legal consultations (chat, phone, 24/7)
  • Additional holiday days after each year worked at Commerzbank (maximum 5 additional days)
  • Compensation of up to 100% for sick pay (up to 33 days in a given calendar year)
  • Equivalent for electricity and internet while working from home
  • Flexible working time
  • Masterbenefit – car subscription
  • Travel allowance of 150 pln for each arrival for the first year of work in Commerzbank for employees who are living outside of Łódzkie
  • Annual bonus, which amount depends on the results of the bank


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