Commerzbank Digital Technology Centre Poland

Junior IFRS 9 Model Developer

Commerzbank Digital Technology Centre Poland

full-time

Posted on:

Origin:  • 🇵🇱 Poland

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Job Level

Junior

Tech Stack

PythonSQL

About the role

  • 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

Requirements

  • 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.)
  • Sound knowledge of data modelling software and coding ( R/Python, SAS/SQL ), experience in analysis of huge data sets
  • Strong analytical skills and attention to details
  • English C1 level
  • Knowledge of regulations from credit risk models area (CRR, EBA GL, IFRS9) will be an asset