Credit Derivatives Model Validation Specialist - London, United Kingdom - Deutsche Bank

Deutsche Bank

Verified Company

London, United Kingdom

1 week ago

Posted by:

Tom O´Connor

beBee Recruiter

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 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

You can expect:

Competitive salary and noncontributory 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 wideranging 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

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.

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.