Model Development Expert for Quantitative Risk Management
7 days ago
**Company Overview:** Commerzbank is a leading international commercial bank with a global presence, operating in almost 50 countries. As we continue to evolve into a digital enterprise, we are seeking talented individuals to join our team.
**Job Description:** We are looking for an experienced Model Development Expert to join our Risk Models & Calculations cluster. This team is responsible for developing, rolling out, and maintaining group-wide models for credit risk, operational risk, capital requirements, and stress-testing. The successful candidate will be part of the model development process, ensuring compliance with regulatory and accounting standards, including Basel/IFRS9 and EBA GL.
**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
- Comprehensive uniform calibration on Basel compliant definition of default
**Requirements:**
- Proficiency in Java, R, Python, SAS, and SQL programming languages
- Strong analytical skills and attention to detail
- Degree in mathematics, physics, econometrics, or related fields
- Excellent mathematical-statistical skills, including knowledge of multivariate statistical methods and stochastic processes
- Experience in data modelling software and coding
- English language proficiency at C1 level
**Tools and Technologies:** Confluence, GitHub, SharePoint, GIT, Agile, Scrum, and other industry-standard tools.
**Benefits:**
- Competitive salary and benefits package
- Sport subscription and training budget
- Private healthcare and lunch card
- International projects and opportunities for career growth
- E-learning platform and free coffee
- Bike parking and shower facilities
- Modern office environment with no dress code
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