We have enough challenges - and now we need you to tackle them!
1. As (Senior) Business Expert specialising in the quantitative development of counterparty risk models you will play a key role in advancing Commerzbank’s internal modelling approaches for measuring counterparty exposures.
2. In this position, you will contribute significantly to the ongoing development of the bank’s counterparty risk calculation engines, particularly for use cases such as xVA trading and IMM (Internal Model Method).
3. Your primary responsibilities will include designing and developing Monte Carlo simulation-based methodologies for medium- and long-term risk forecasts. These forecasts will be applied in areas such as RWA (Risk-Weighted Assets), xVA, ICAAP (Internal Capital Adequacy Assessment Process), as well as limit and exposure calculations.
4. Furthermore, your modelling expertise will be instrumental in offering practical quantitative support to model users, including teams in risk management and reporting functions.
5. Master’s or PhD degree in a quantitative discipline (e.g. mathematics, physics, computational finance or engineering)
6. In-depth knowledge in the field of counterparty credit risk
7. Strong understanding of relevant regulatory requirements (CRR)
8. Experience in the use of Monte Carlo methods
9. Excellent knowledge of derivatives pricing models
10. Excellent programming skills (software engineering, OOAD, multithreading, distributed systems, design patterns, micro services, cloud computing, PostgreSQL, Jenkins, JUnit, GIT, testing), with a focus on quantitative model development using Java including open source frameworks (e.g. Spring Boot, Hibernate)
11. Familiarity with LaTeX for documentation
12. Highly motivated self-starter with exceptional attention to detail and quality
13. Great team player with outstanding communication skills
14. Fluency in English (German would be considered an additional asset)
Our Benefits
15. Flexible work
16. Professional training & development
17. Friendly work environment
18. Diverse tasks
19. Work-life balance
Flexible work; Professional training & development; Friendly work environment; Diverse tasks; Work-life balance
Commerzbank is the leading bank for the Mittelstand and with a comprehensive portfolio of financial services a strong partner for corporate client groups and private and small-business customers in Germany. We are a bank that is characterized by a fair and cooperative relationship with one another and with our customers.
We appreciate working in inspiring teams of people who bring a diverse background. We offer a creative environment and excellent career development opportunities. Work Life Balance is very important to us. And of course, we know that a good job also includes an attractive salary.