Remote LGD Model Developer (IFRS9/Basel)

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

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.