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Commerzbank – Centrum Technologii Cyfrowych w Polsce
Data aktualizacji: 2022-09-21
Łódź, łódzkie
Bankowość, IT, Analiza
angielski
Data aktualizacji: 2022-09-21 Aplikuj
Commerzbank – Centrum Technologii Cyfrowych w Polsce
Senior Model Validation Specialist (Instrument Pricing)

Senior Model Validation Specialist (Instrument Pricing)

About work in our team

Commerzbank is a leading international commercial bank with branches and offices in almost 50 countries.

The world is changing, becoming digital, and so are we. 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.

Join our team as a Senior Model Validation Specialist ( Instrument Pricing) 

A successful candidate will have an opportunity to work with a broad spectrum of sophisticated risk models and instrument pricing models developed at one of Europe’s largest banks.

Online
recruitment


Benefits

Friendly
and multicultural
environment
Professional
trainings
English
and German
courses
26 days of holiday
from the very
beginning
Medical
and health insurance
Multisport
Employee
Pension
Scheme
Lunch card
 

Benefits

  • Friendly and multicultural environment
  • Professional trainings
  • English and German courses
  • 26 days of holiday from the very beginning
  • Medical and health insurance
  • Multisport
  • Employee Pension Scheme
  • Lunch card

Main tasks


What you will be doing? 

  • Critical analysis of existing models and processes, identification of weak points of existing models and providing possible improvements.
  • Independently performing complete validations according to the validation concept.
  • Contribution to further development of instrument pricing model validation methods and approaches with regard to content as well as for implementation of new regulatory required standards, corresponding adjustments to validation concepts
  • Preparation of validation and management reports.
  • Calculation of Model Reserve (FVA) and Model Risk AVA
  • Development of reusable codes (packages, libraries) for use across various validations (IT infrastructure)

Alternative Tasks:

  • Overall responsibility for model validations
  • Building new instrument pricing models and creating independent implementations of existing models.
  • Leading role with respect to consultation of regulatory requirements

Expectations


Which technology & skills are important for us? 

  • High knowledge of mathematics applied in area of instrument pricing (e.g. functional analysis, probability theory, stochastic differential equations)
  • Good knowledge of of numerical methods applied in area of instrument pricing (e.g. Monte Carlo methods, PDE, differential equations, linear algebra, optimization)
  • High knowledge of statistics and econometrics.
  • High knowledge of R and / or other programming languages (C, C++, C#) with experience in numerical analysis.
  • Experience in building mathematical or statistical/econometric models.
  • Good understanding of financial products (options, swaps, futures, forwards, repos, etc.).
  • Experience with front-office pricing systems and libraries (desired but not required)

 

Do not worry, if you do not have experience in some of the points - we will provide trainings for you! 😉


Please add the following disclaimer to your application:

1. I consent to the processing of personal data contained in this document by Commerzbank AG with its registered office in Frankfurt am Main, Germany, 60261 Kaiserplatz, 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.
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 to my personal data and about the right to correct, rectify and delete it.
Wymiar godzin
Pełny etat
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Specjalista
Języki
angielski
Wymiar godzin
Pełny etat
Poziom stanowiska
Specjalista
Języki
angielski
Wymiar godzin
Pełny etat
Poziom stanowiska
Specjalista
Języki
angielski