Quantitative Risk Model Developer Position

3 days ago


Łódź, Łódź Voivodeship, Czech Republic CommerzBank Full time

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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