Counterparty Credit Risk Methodology Specialist

2 months ago

London, Greater London, United Kingdom deutsche bank Full time
About the Role:
We are seeking a highly skilled Counterparty Credit Risk Methodology Specialist to join our team at Deutsche Bank.

As a key member of our Counterparty Credit Risk team, you will be responsible for developing and implementing methodologies for simulating exposure profiles for derivatives and securities financing transactions.

Your expertise will be utilized to calculate exposure metrics such as EPE, PFE, and AEE, which are essential for Economic and Regulatory capital calculations for Counterparty Credit Risk.

You will work closely with Market Risk Management on Basel III projects, including Fundamental Review of Trading Book, Credit Valuation Adjustment, and Prudential Valuation adjustment on X-Value Adjustment.

Responsibilities:
  • Contribute to the development of methodologies for simulating exposure profiles for derivatives and securities financing transactions
  • Implement Basel III compliant derivatives exposure models
  • Support efforts around internal and external audit response, including addressing queries and producing ad hoc analysis
  • Drive the timely closure of assigned regulatory/audit/validation findings
  • Provide expertise and support to our main stakeholders in Credit Risk Management, Front Office, Finance, and Technology
Requirements:
  • Educated to Bachelor's degree level or equivalent qualification/relevant work experience in a quantitative discipline (MSc/PhD desirable)
  • Demonstrable relevant industry experience in a similar role
  • Excellent communication and interpersonal skills, as projects can require interaction and synchronisation with other teams
  • Ability to solve problems and make decisions
  • Good background in financial maths, stochastic calculus, and familiarity with a mainstream programming language (preferably Python)
About Deutsche Bank:

Deutsche Bank is the leading German bank with strong European roots and a global network. We strive for a culture in which we are empowered to excel together every day. This includes acting responsibly, thinking commercially, taking initiative, and working collaboratively.

We welcome applications from all people and promote a positive, fair, and inclusive work environment.

What We Offer:

A healthy, engaged, and well-supported workforce are better equipped to do their best work and 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.

You can expect:
  • Hybrid Working - we understand that employee expectations and preferences are changing. We have implemented a Hybrid Working Model that enables eligible employees to work remotely for a part of their working time and reach a working pattern that works for them
  • 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 and 2 days' volunteering leave per year

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