LGD Model Developer

Commerzbank Gruppe; Łódź; Hybrid; PLN 180,000 - 260,000; Full time

Benefits offered by this job

Medical care packages in Enel-med

Relocation packages within Poland

Annual bonus

Multisport Plus Card

Lunch Pass card

Job summary

Commerzbank Łódź is seeking an LGD Model Developer to design, implement and maintain AIRB/IFRS9 LGD and CCF models for diverse portfolios. You will lead methodological work for quantitative credit risk, develop cross-functional architecture, and ensure Basel/IFRS9 compliance, collaborating with auditors and regulators.

The role requires a Master in a quantitative field, 3+ years banking experience, and strong R/Python/SQL skills.

Qualifications

• Master degree with very good grades in mathematics, physics, econometrics or related fields.
• Strong mathematical-statistical skills and knowledge of model development foundations.
• Minimum 3 years of professional banking experience in risk modelling or validation.
• Proficiency in data modelling software and coding with R/Python/SQL, and handling large data sets.
• Knowledge of CRR, EBA GL, IFRS9 regulations and English/Polish at C1 level.

Responsibilities

• Develop and maintain LGD/CCF models for multiple portfolios.
• Own group-wide methodological aspects of quantitative credit risk models.
• Construct forward-looking cross-functional methodology architecture.
• Ensure Basel/IFRS9 and EBA GL compliance for models.
• Prototype impact and scenario analysis in R/Python/SQL.
• Prepare technical specifications, documentation, and presentations.
• Communicate with auditors, regulators, and external partners.

Skills

Mathematical statistics

Model development

R/Python

SQL

English/Polish (C1)

Education

Master's degree in mathematics, physics, econometrics or related fields

Tools

R

Python

SQL

Job description

Join our team as a LGD Model Developer!

Your tasks

What you will be doing?

• Development and maintenanceof AIRB/IFRS9LGDand 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

Your Profile

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 ofmodel development(multivariate statistical methods, stochastic processes, etc.)
• Minimum 3 years ofprofessional 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 and Polish C1 level

How?

Remotely or hybrid on Wersalska 6 street (Łódź)

The company

Below you can find more information about Commerzbank and the cluster:

Commerzbankis 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:

Cluster Risk Models & Calculations 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 defence 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 centre 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. wrt 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.

What we offer?

• Medical care packages in Enel-med,
• Additional Generali insurance,
• Multisport Plus Card,
• Pluxee Lunch Pass card,
• Co-financing of glasses or contact lenses,
• PPE- Employee pension scheme, in which the employer's contribution is 5.5% of the monthly salary,
• Special offer at mBank for Commerzbank employees,
• Special offers within mBank group,
• Access to the Speexx e-learning language platform,
• Access to O’Reilly and Clix (Linkedin Learning) e-learning platform,
• Internal training program Skills@work (coffee Learning Session – informal quarterly meetings among employees focusing on a given technological or business issue, BigUP- individual mentoring program focused on soft skills development, Coach Academy – Technical training organized by employees for employees, Guilds – groups focusing on a given technology),
• External trainings,
• Interest groups and integration events,
• Relocation packages inside and outside Poland,
• Psychological support program for employee and family, additionally financial and legal consultations (chat, phone, 24/7),
• Additional holiday days after each year worked at Commerzbank (maximum 5 additional days),
• Compensation of up to 100% for sick pay (up to 33 days in a given calendar year),
• Equivalent for electricity and internet while working for home,
• Flexible working time,
• Masterbenefit – car subscription,
• Travel allowance of 150 pln for each arrival for the first year of work in Commerzbank for employees who are living outside of Łódzkie and their previous employer was located outside of Łódzkie.
• Annual bonus, which amount depends of the results of the bank.

Contact

Commerzbank Aktiengesellschaft Spółka Akcyjna oddział w Polsce

Ul. Wersalska 6

91-203 Łódź