LGD Model Developer @

3 days ago

Remote Łódź, Czech Republic CommerzBank Full time

Which technology & skills are important for us? 

  • 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 (R/Python, SQL) with experience in analysis of huge data sets
  • Knowledge of regulations from credit risk models area (CRR, EBA GL, IFRS9)
  • English C1 level

Below you can find more information about Commerzbank and cluster 

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. This is exactly why we need talented people who will join us on this journey. We work in inter-locational and international teamwork in agile methodologies.

Description of the cluster:

Risk Models & Calculations cluster is responsible for:

  • Development, roll-out and maintenance of group-wide models for credit risk, operational risk, capital requirements and stress-testing (incl. 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. 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 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.
  • 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.
,[Development and maintenance of AIRB/IFRS9 LGD and CCF models for multiple portfolios, Group-wide methodological responsibility for quantitative credit risk models, Forward-looking construction of a cross-functional methodology architecture, Ensuring compliance with regulatory/accounting standard requirements (Basel / IFRS9 etc.) and EBA GL, Programming of prototypes for impact and scenario analysis in different programming languages (R/Python, SQL), Data preparation, statistical and empirical investigations, handling of very large amounts of data, their aggregation and evaluation, Preparation of technical specifications, presentations and documentation of quantitative credit risk forecasting models, Internal and external communication, including auditors, regulators, external partners and rating agencies] Requirements: Degree, Statistical methods, SQL, Data modelling, R, Python Additionally: 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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