Description
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Details of the role and how it fits into the team
The role is to independently review, test and approve pricing models for credit and securitization products and other related models, all according to internal standards consistent with the regulatory guidance. The team is part of the Model Risk Management division of the Risk department of Deutsche Bank.
Your key responsibilities
1. Receive formal requests from Front Office and Model Developers to validate pricing models for credit and securitization products, and related reserve and valuation adjustment models.
2. Mathematically review models and their suitability for products, conduct independent testing, challenge FO and model developers where necessary, document testing results and outcomes of conceptual and mathematical review in a Model Validation Report reviewed by regulators.
3. Manage model risk on an ongoing basis by assessing the model developer documentation, model assumptions and model limitations, model changes, imposing conditions for use, raising validation findings etc.
4. Pro-actively engage stakeholders to successfully bring validation projects to completion to agreed deadlines and in line with requirements.
5. Increase the degree of automation of documentation generation and testing.
Your skills and experiences
6. You have an MSc in a highly mathematical subject.
7. You have solid foundations in analysis, probability, statistics, PDEs.
8. You are rigorous, precise, disciplined, independent, and persistent.
9. You are an experienced user of Python and LaTeX and are familiar with SVN or git.
10. You know stochastic calculus and its applications to no-arbitrage pricing models.
What we offer
We provide you with a comprehensive portfolio of benefits and offerings to support both, your private and professional needs.
11. Emotionally and mentally balanced
A positive mind helps us master the challenges of everyday life – both professionally and privately. We offer consultation in difficult life situations as well as mental health awareness trainings.
12. Physically thriving
We support you in staying physically fit through an offering to maintain personal health and a professional environment. You can benefit from health check-ups; vaccination drives as well as advice on healthy living and nutrition.
13. Socially connected
Networking opens up new perspectives, helps us thrive professionally and personally as well as strengthens our self-confidence and well-being. You can benefit from PME family service, FitnessCenter Job, flexible working (e.g parttime, hybrid working, job tandem) as well as an extensive culture of diversity, equity and inclusion.
14. Financially secure
We provide you with financial security not only during your active career but also for the future. You can benefit from offerings such as pension plans, banking services, company bicycle or “Deutschlandticket”.
This job is available in full and parttime.
In case of any recruitment related questions, please get in touch with Pierre Kujat.
Contact Pierre Kujat: +49 1605138367
We strive for a in which we are empowered to excel together every day. This includes acting responsibly, thinking commercially, taking initiative and working collaboratively.
Together we share and celebrate the successes of our people. Together we are Deutsche Bank Group.
We welcome applications from all people and promote a positive, fair and inclusive work environment.