Senior Risk Model Validation Specialist

📢 Join our team as a Senior Specialist in Risk Model Validation! 📢

Are you an experienced quantitative professional with a strong background in mathematical or statistical models and financial risk management? Would you like to independently challenge sophisticated risk models and influence how model risk is managed within one of Europe’s largest banks? If so, join our Risk Model Validation team!

As a Senior Specialist in Risk Model Validation, you will take an independent role in validating complex models related to market and counterparty credit risk. You will challenge modelling approaches, develop challenger models and communicate validation conclusions to key stakeholders, including Validation Committees and auditors. The position combines advanced quantitative analysis, financial markets expertise and programming with a high level of ownership and responsibility.

What you will be doing 👇

• Independently performing comprehensive validation of sophisticated quantitative risk models
• Critically assessing model methodology, assumptions, implementation, performance and limitations
• Developing challenger models and quantitative approaches to independently assess existing models
• Preparing high-quality validation reports and presenting conclusions and recommendations to the Validation Committee
• Presenting and discussing validation approaches and results with internal and external auditors
• Developing and maintaining analytical tools and software solutions in R, Python and SQL supporting validation activities
• Proactively driving validation projects and contributing to the continuous improvement of validation methodologies, tools and processes

Which technology & skills are important for us? 👌

• Strong professional experience in the development or validation of mathematical, statistical or econometric models
• Good understanding of market and/or counterparty risk management within a banking or financial services environment
• Good understanding of financial instruments such as options, swaps, futures, forwards and repos
• Practical knowledge of R and/or Python and experience applying programming to statistics, data science or quantitative modelling
• Ability to independently assess, challenge and clearly communicate complex quantitative methodologies and results
• Experience with front-office pricing systems and libraries would be an advantage
• Knowledge of LaTeX for preparing high-quality quantitative documentation and MS Office for management reporting
• Strong analytical and critical-thinking skills with excellent attention to detail
• High level of independence and ability to proactively drive projects and tasks to completion
• Strong collaboration, communication and presentation skills, including the ability to communicate complex quantitative topics to different stakeholders
• Very good communication skills in English (B2 or above)

How?
📌 Hybrid in Łódź or Wrocław

Below you can find more information about Commerzbank and cluster 👇

Commerzbank is a leading international commercial bank with branches and offices in almost 50 countries. The world is changing, becoming digital, and so we are. We are leaving the traditional bank behind us and are choosing to move forward as a digital enterprise. This is exactly why we need talented people who will join us on this journey. We work in inter-locational and international teamwork in agile methodologies.

Description of the cluster:

The Risk Model Validation division is part of the GRM-ERM executive area and consists of teams located in Commerzbank’s Frankfurt headquarters as well as in Poland, including Łódź and Wrocław.

The division is responsible for the independent validation of a broad spectrum of sophisticated risk models covering areas such as credit risk, operational risk, market risk, instrument pricing, liquidity risk and counterparty risk. This includes models related to PD, LGD, EAD, IFRS 9, CVaR and stress testing.

Within the Market, Counterparty & Liquidity Risk Models area, you will work with sophisticated quantitative models used to measure and manage market and counterparty credit risks. As a senior member of the validation function, you will have the opportunity to independently challenge methodologies and modelling approaches and contribute your expertise to maintaining high standards of model risk management within the bank.

What we offer? 🥳

Of course, we offer Development Plans for employees, Life insurance, flexible working hours, integration events and much more 😎

Important! Please add the clause to your CV. 📑 You can find it on the end of the advert.

🚩 Please add the following clause to your application:

1. I consent to the processing of personal data contained in this document by Commerzbank Aktiengesellschaft with its registered office in Kaiserstrasse 16, 60311 Frankfurt am Main, Germany, operating through the Branch in Poland with its registered office in Łódź, 91-203 Łódź, ul. Wersalska 6, KRS 0000631053, for the implementation of the current recruitment process and for the future recruitment for a period of 6 months, in accordance with the Regulation of the European Parliament and of the Council (EU) 2016/679 of 27 April 2016 on the protection of individuals with regard to the processing of personal data the free flow of such data and the repeal of Directive 95/46 / EC (RODO) and in accordance with the Act of 10 May 2018 on the protection of personal data (Journal of Laws of 2018, item 1000). I provided my personal data voluntarily and I declare that they are truthful. I have the right to withdraw this consent at any time. The withdrawal of consent shall not affect the lawfulness of processing based on consent before its withdrawal.
2. I have read the content of the information clause, including information about the purpose and methods of processing personal data and the right to access my personal data and about the right to correct, rectify and delete it.