Commerzbank Digital Technology Centre Poland

Software Engineer

• Development and maintenance of AIRB/IFRS9 credit risk models (PD, LGD, CCF) for multiple portfolios and IFRS9 Stage Transfer logic
• Group-wide methodological responsibility for quantitative credit risk
• 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, SAS/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

Junior IFRS 9 Model Developer