Model Developer

6 dni temu


Łódź, Łódź Voivodeship, Polska Commerzbank Pełny etat
Join our team as a Model Developer

Estimation and optimization of separation power, quality of quantification and stability of forecasts and comprehensive uniform calibration on Basel compliant definition of default

Programming of prototypes for impact and scenario analysis in different programming languages (R, Python, SAS, SQL)

Preparation of technical specifications, presentations and documentation of quantitative credit risk forecasting models

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

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. We work in inter-locational and international teamwork in agile methodologies.

tight monitoring of model performance). We are model owner and 1st line of defense for model risk.

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. 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.

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.

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

You can find it on the end of the advert.

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