Quantitative Risk Model Developer Position
3 days ago
About CommerzBank
Commerzbank is a leading international commercial bank with a presence in almost 50 countries. As a digital enterprise, we are committed to innovation and technological advancements.
Risk Models & Calculations Cluster Overview
The Risk Models & Calculations cluster plays a critical role in developing, rolling out, and maintaining group-wide models for credit risk, operational risk, capital requirements, and stress-testing. We are responsible for monitoring model performance and ensuring compliance with regulatory/accounting standard requirements.
Key Responsibilities:
- Development of group-wide models for credit risk, operational risk, capital requirements, and stress-testing
- 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
- Calculation of 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 operational risk, tools for and management of the internal control system
- Operational stability of 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
Requirements:
- Java programming skills
- Knowledge of R, Python, SAS, SQL programming languages
- Master's degree in mathematics, physics, econometrics, or related fields
- Strong analytical skills and attention to details
- English language proficiency at C1 level
Tools and Technologies:
- Confluence
- Github
- Sharepoint
- GIT
- Agile methodologies
Additional Benefits:
- Sport subscription
- Training budget
- Private healthcare
- Lunch card
- International projects
- E-learning platform (mindtools)
- Free coffee
- Bike parking
- Shower
- Modern office
- No dress code
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