CommerzBank
2 months ago
LGD Model Developer (m/f/d) @ CommerzBank
Sign up to save this job, get alerts, and apply with an optimized CV.
Company information
- Company
- CommerzBank
- Location
- Polska, łódzkie, Łódź Poland
- Posted
- 2 months ago
Job description
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.
Required skills
- validation
- documentation
- risk analysis
- sql
- python
- chartered accountant
- evaluation
- agile methodologies
- statistical methods
- basel
- english c1
- presentations
- physics
- incidents
- regulatory requirements
- degree
- technical specifications
- prototypes
- data modelling
- r
- mathematics
- stressed conditions
- modern office
- credit risk
- internal communication
- econometrics
- external partners
- data preparation
- model development
- credit risk models
- delays
- master degree
- coding
- programming languages
- strategic initiatives
- private healthcare
- international projects
- regulators
- impact analysis
- scenarios
- internal control system
- stress
- model performance
- customer requests
- scenario analysis
- ifrs9
- aggregation
- shower
- operational risk
- crr
- training budget
- external communication
- ad-hoc requests
- business risk
- free coffee
- online applications
- e-learning platform
- stress-testing
- no dress code
- lunch card
- calculation kernels
- risk modelling
- internal auditors
- it-applications
- model risk
- commerzbank
- bike parking
- sport subscription
- it-solutions
- credit process
- digital enterprise
- rating agencies
- eba gl
- economic capital requirements
- 1st line of defense
- capital requirements
- lgd model
- mathematical-statistical skills
- multivariate statistical methods
- stochastic processes
- professional experience in banking
- analysis of huge data sets
- risk models & calculations cluster
- model owner
- rating models
- rwa-calculation
- c-var
- lgd-service
- oprisk
- rating tools
- risk applications
- front-ends
- credit portfolio model
- ama for oprisk
- physical asset risk
- risk provisions
- ifrs9 stage assignment
- lifetime-el
- asset backed securities
- it-platform optimization
- manual processes minimization
- covid-19 crisis
- airb rating models
- rating calculation acceleration
- digital credit journey
- credit decision improvement
- credit processes streamlining
- airb/ifrs9 lgd and ccf models
- quantitative credit risk models
- methodology architecture
- regulatory/accounting standard requirements
- statistical investigations
- empirical investigations
- large amounts of data
- quantitative credit risk forecasting models
- mindtools
Interested in this position?
Create your free account and tailor your CV to match this job.