Gameplay Video Artist
PLAYSENSE
Unity
Junior IFRS 9 Model Developer
Commerzbank Digital Technology Centre Poland
full-time
Posted on:
Location: 🇵🇱 Poland
Visit company websiteJob 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
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