Model Validation I department – a part of GRM-VAL division consisting of teams located in Frankfurt headquarters of Commerzbank and in Poland – is responsible for validation of models in the following areas: credit (PD, LGD, EAD, IFRS 9, CVaR, stress) and operational risk. A successful candidate will have an opportunity to work with a broad spectrum of sophisticated risk models developed at one of Europe’s largest banks.
responsibilities :
Independently performing complete validations according to the validation concept and supervising junior validators.
Preparation of validation and management reports,
Presentation of validation results to the Validation Committee,
Presentation of validation approach and results to internal and external auditors,
Contribution to further development of risk model validation methods and approaches with regard to content as well as for implementation of new regulatory required standards, corresponding adjustments to validation concepts,
Contribution to consultation of new regulatory requirements.
requirements-expected :
High knowledge of statistical/mathematical methods applied in the area of credit risk models (PD, LGD, EAD, IFRS 9, CVaR stress) supported by extensive experience in this area ( preferably in banking sector),
Good knowledge of R, SQL with experience in analysis of huge data sets,
Experience in writing high quality validation reports and other documentation,
Writing high quality validation codes with SAS (migration to R),
Strong analytical skills and attention to details,
Proactively driving projects and tasks to deliver results,
English C1 level
offered :
Friendly and multicultural environment
26 days of holiday from the very beginning
benefits :
private medical care
sharing the costs of professional training & courses
life insurance
remote work opportunities
flexible working time
integration events
corporate sports team
retirement pension plan
preferential loans
no dress code
video games at work
coffee / tea
leisure zone
pre-paid cards
redeployment package
employee referral program
extra leave
Multisport
Skills@Work - personal & professional development program
Employee Assistance Program (psychological support)
