Senior Quant Developer / (Senior) Business Expert Counterparty Risk Models

We have enough challenges - and now we need you to tackle them!

Your tasks

• 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.
• 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).
• 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.
• Furthermore, your modelling expertise will be instrumental in offering practical quantitative support to model users, including teams in risk management and reporting functions.

Your profile

• Master’s or PhD degree in a quantitative discipline (e.g. mathematics, physics, computational finance or engineering)
• Several years of professional experience in quantitative risk management
• In-depth knowledge in the field of counterparty credit risk
• Strong understanding of relevant regulatory requirements (CRR)
• Experience in the use of Monte Carlo methods
• Excellent knowledge of derivatives pricing models
• 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)
• Familiarity with LaTeX for documentation
• Highly motivated self-starter with exceptional attention to detail and quality
• Great team player with outstanding communication skills
• Fluency in English (German would be considered an additional asset)

Our Benefits

• Flexible work
• Professional training & development
• Friendly work environment
• Diverse tasks
• Work-life balance

Flexible work; Professional training & development; Friendly work environment; Diverse tasks; Work-life balance

The company

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.

Contact

Would you like to become a member of a strong and dedicated team? If so, please submit your application online. If you have any further enquiries about this role, please contact Christoph Wolff +49 69 9353 28479 or email him at [email protected].