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?
Development Plans
for employees
Life insurance
flexible working hours
integration events
and much more
Senior Risk Model Validation Specialist in Łódź – pracodawca: Commerzbank AG
Commerzbank to doskonały pracodawca, który oferuje wyjątkowe możliwości rozwoju zawodowego w dynamicznym i innowacyjnym środowisku. Pracując w Łodzi jako Senior Cloud Engineer, będziesz częścią zespołu, który przekształca dane w wartościowe informacje, korzystając z najnowszych technologii analitycznych i AI. Oferujemy elastyczne godziny pracy, plany rozwoju dla pracowników oraz integracyjne wydarzenia, co sprzyja budowaniu silnej kultury pracy zespołowej.
