Market Risk and Portfolio Model Validation Specialist, AS
- Deutsche Bank
- 3 - 5 years
- Mumbai
- 2 months ago
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Job Description
Role Description
- The Risk division plays a critical role in identifying and managing a wide range of risks to which Deutsche Bank is exposed as part of its global operations from credit and market risks to non-financial risks. As an integral part of this division, Model Risk Management (MoRM) is tasked with performing independent model validation and actively managing model risk at a global level in line with Deutsche Banks risk appetite. Its teams are located in Mumbai, Frankfurt, Berlin, London and New York.
- Assigned to the Market Risk and Portfolio Model Validation unit in Mumbai, you will focus on developing and maintaining a central modelling and validation service covering all risk model types and methodologies.
Your key responsibilities
- Review and analyze Market Risk and Portfolio models like VaR, ES, EC, RNIV, RNIEC etc.
- Understand the mathematical models and implementation methods used, where appropriate, verify models and numerical schemes.
- Communicate outcomes of your review and analysis with key model stakeholders including risk managers, validation leads and model development teams as necessary.
Your skills and experience
- Educated to Masters/ Doctor of Philosophy (Ph.D.) level or equivalent qualification/ relevant work experience in a quantitative subject such as Mathematics, Physics, Quantitative Finance or Quantitative Economics.
- Experience in model validation or model development
- Excellent mathematical abilities and an understanding of Linear Algebra, Calculus, Partial Differential Equations, Monte-Carlo Methods, Historical Simulation Methods, finite difference methods and numerical algorithms, statistics, or mathematical finance.
- Strong programming skills.
- Good knowledge about financial products / derivatives and the financial risks related to them is essential.
- Excellent communication skills, both written and verbal
- Ability to author structured and concise validation reports.
- Fluent in English (written and spoken).
Job Classification
Industry: Investment Banking / Venture Capital / Private EquityFunctional Area / Department: Risk Management & Compliance, Role Category: FinanceRole: Market RiskEmployement Type: Full timeContact Details:
Company: Deutsche BankLocation(s): Mumbai+ View Contact
Keyskills: model validation mathematical models model development Calculus numerical algorithms Linear Algebra programming
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