LGD Model Developer – Credit Risk Modeling

About the role

Join the Risk Models & Calculations cluster at Commerzbank Poland as an LGD Model Developer. You will design, develop and maintain AIRB/IFRS9 LGD and CCF models for multiple portfolios, ensuring compliance with Basel, IFRS9 and EBA GL regulations.

Key responsibilities

• Develop and maintain group‑wide LGD and CCF models, taking methodological ownership of quantitative credit risk models.
• Prepare data, conduct statistical and empirical investigations on large data sets, and create prototypes for impact and scenario analysis using R, Python and SQL.
• Draft technical specifications, presentations and documentation for internal and external stakeholders, including auditors and regulators.
• Collaborate with cross‑functional teams to build forward‑looking methodology architecture and support regulatory reporting.

Required profile

• Master’s degree with excellent grades in mathematics, physics, econometrics or a related field.
• At least 3 years of professional experience in banking risk modelling or validation.
• Strong knowledge of credit‑risk regulations (CRR, EBA GL, IFRS9) and fluent English (C1) plus Polish (B2+).

Required skills

• Proficiency in R, Python and SQL for data analysis and model prototyping.
• Advanced mathematical‑statistical expertise, including multivariate methods and stochastic processes.
• Experience handling very large data sets and performing data aggregation and evaluation.

What we offer

• Development plans and career growth opportunities.
• Life insurance and flexible working hours.
• Integration events and a supportive hybrid work environment.