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Credit Derivatives Model Validation Specialist

4 months ago

London, United Kingdom Deutsche Bank Full time

Job Description:

Job Title Credit Derivatives Model Validation Specialist

Location London

Corporate Title Vice President

The Chief Risk Office function has Group-wide responsibility for the management and control of all credit, market, operational, enterprise and liquidity risks and has the responsibility of continual development of methods for risk measurement, frameworks and creating a bank wide strong risk culture. Deutsche Bank has been named Bank Risk Manager of the Year by the publication risk.net for the second consecutive year (2020 and 2021).

You will join Model Risk Management (MoRM), which provides independent oversight and governance for senior managers of model analytics and their implementation into the risk architecture that drive valuation, risk, and stress testing results. MoRM is responsible for the quantitative validation and analysis of all pricing models used for valuation, risk management and regulatory risk reporting.

What we'll offer you

A healthy, engaged, and well-supported workforce are better equipped to do their best work and, more importantly, enjoy their lives inside and outside the workplace. That's why we are committed to providing an environment with your development and wellbeing at its centre.

Hybrid Working

We understand that employee expectations and preferences are changing. We have implemented a Hybrid Working Model that enables employees to reach a working pattern that works for them. Eligible employees have the opportunity to work from the office and remotely from home (subject to the role's eligibility).

You can expect:

  • Competitive salary and non-contributory pension
  • 30 days' holiday plus bank holidays, with the option to purchase additional days
  • Life Assurance and Private Healthcare for you and your family
  • A range of flexible benefits including Retail Discounts, a Bike4Work scheme and Gym benefits
  • The opportunity to support a wide-ranging CSR programme + 2 days' volunteering leave per year

Your key responsibilities

  • Assess, analyse, and test credit derivative and securitisation models for pricing, risk management and regulatory stress testing
  • Reviews and analysis require deep understanding of the mathematical models used, implementation methods, products traded in these markets, and the associated risks that are inherent from trading these products
  • Test results are documented in a model validation report, reviewed by regulators, and form the basis of discussion with key model stakeholders including Trading; Model Developers; Market Risk Managers; and Finance Controllers
  • Participation in the development and maintenance of an internal Python library to improve the efficiency of testing and documentation
  • Engagement in the New Product Approval Process, and oversight of model governance for credit derivatives and securitisation products

Your skills and experience

  • Educated to Bachelor's degree level or equivalent qualification/relevant work experience in a numerate subject such as Mathematics, Financial Mathematics, Physics or Statistics
  • Experience in a Model Validation, Front Office Quant role or other relevant quantitative finance role
  • Excellent mathematical ability and understanding of Stochastic Calculus, Partial Differential Equations, Monte Carlo Methods, and Numerical Algorithms
  • Prior knowledge/experience of credit derivatives/securitisation models
  • Experience of coding in a managed codebase, familiarity with code versioning systems, project management systems, unit testing, Python scripting advantageous

How we'll support you

  • Flexible working to assist you balance your personal priorities
  • A culture of continuous learning to aid progression
  • A range of flexible benefits that you can tailor to suit your needs
  • We value diversity and as an equal opportunities' employer, we make reasonable adjustments for those with a disability such as the provision of assistive equipment if required (for example, screen readers, assistive hearing devices, adapted keyboards)

About us and our teams

Deutsche Bank is the leading German bank with strong European roots and a global network. Click here to see what we do

Our values define the working environment we strive to create - diverse, supportive and welcoming of different views. We embrace a culture reflecting a variety of perspectives, insights and backgrounds to drive innovation. We build talented and diverse teams to drive business results and encourage our people to develop to their full potential. Talk to us about flexible work arrangements and other initiatives we offer.

We promote good working relationships and encourage high standards of conduct and work performance. We welcome applications from talented people from all cultures, countries, races, genders, sexual orientations, disabilities, beliefs and generations and are committed to providing a working environment free from harassment, discrimination and retaliation.

Click here to find out more about our diversity and inclusion policy and initiatives.