Position: Junior Model Developer
Company: Commerzbank
Experience required: no_exp
Category: Python
English level: upper
Published: 2022-07-01T00:00:00+03:00

Together with your team You will be doing 👇

Conceptual new and further development of state-of-the-art quantitative credit risk forecasting models (e.g. PD, LGD, CCF)
Integration of different requirements and interests from the business side, operative risk management and regulatory/standard requirements
Internal mathematical-statistical development of quantitative credit risk forecasting models using state of the art methods taking into account the impact on the bank’s risk parameters.
Group-wide mathematical-methodological responsibility for quantitative credit risk forecasting models
Forward-looking construction of a cross-functional methodology architecture
Estimation and optimization of separation power, quality of quantification and stability of forecasts and comprehensive uniform calibration on Basel compliant definition of default
Ensuring compliance with regulatory/accounting standard requirements (Basel / IFRS9 etc.) and monitoring of regulatory adequacy
Programming of prototypes for impact and scenario analysis in different programming languages (SAS, 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

Which technology & skills are important for us? 👌

Bachelor degree with very good grades in mathematics, physics, econometrics or economics
Very good mathematical-statistical skills (multivariate statistical methods, stochastic processes, etc.)
Basic knowledge mathematical/statistical software packages (SAS, R, Matlab).
English B2 level (mandatory)

Nice to have:
First professional experience e.g. during internships
Basic command of modern programming languages (C, C++, Java, Python etc)
Openness to learn German