Model Validation Specialist (m/f/x)

Position Overview

Job Description:

• The Model Risk Management (MoRM) team provides independent oversight and governance for senior managers of model analytics and their implementation into the risk architecture that drive valuation, risk and stress results. Model Validation as part of MoRM is responsible for the independent review and analysis of all derivative pricing models used for valuation and risk across the bank.
• The role is as a Model Validation Specialist to independently review and analyse derivative models for price and risk of interest Rates, FX and Hybrids products.
• Reviews and analysis require deep understanding of the mathematical models used, implementation methods, products traded in these markets, and the associated risks. In addition to theoretical analysis and review it is required (where appropriate) that model/products are independently implemented in a managed C++ library.
• The outcome of review and analysis and independent implementation will form the basis of discussion with key model stakeholders including: Front Office Trading; Front Office Quants; Market Risk Managers,
  Desk Strats, and Finance teams
• Additional responsibilities include active engagement with the due diligence aspects of the New Product Approval Process and involvement in bank wide strategic initiatives.

Job Requirements:

• Masters or PhD qualification (preferred) in numerate subject such as Mathematics, Financial Mathematics, Physics or Statistics. Strong candidates with other post-graduate qualifications may also be considered.
• Some years of experience in a Model Validation or Front Office Quant role would be beneficial but not required.
• Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms.
• Understanding of interest Rates and FX derivative models.
• Strong interest in financial markets (especially derivative pricing) demonstrated by qualifications and/or experience.
• Experience coding in C++ or Python in a managed codebase.
• Excellent communication skills - both written and oral.

What we will offer you:
https://careers.db.com/explore-the-bank/working-environment/benefits-wellbeing/
Please note that this may vary slightly from location to location.

In case of any recruitment related questions, please get in touch with Anna Wieclawski.
Contact: Anna Wieclawski Mobil: +49(151)18070363

Unsere Werte bestimmen das Arbeitsumfeld, welches wir schaffen möchten - vielfältig, wertschätzend und offen für verschiedene Meinungen. Nur eine Unternehmenskultur, die eine Vielzahl von Perspektiven, sowie kulturellen und gesellschaftlichen Hintergründen vereint, fördert Innovation. Wir setzten auf vielfältige Teams, in welchen die Menschen ihr volles Potential entfalten können - denn das Zusammenführen verschiedener Talente und Ideen spielt eine entscheidende Rolle für den geschäftlichen Erfolg der Deutschen Bank.

Unsere Unternehmenskultur setzt hohe ethische Standards und fördert ein gutes Miteinander. Unabhängig von kulturellem Hintergrund, Nationalität, ethnischer Zugehörigkeit, geschlechtlicher und sexueller Identität, körperlichen Fähigkeiten, Religion und Generation freuen wir uns über Bewerbungen talentierter Menschen.
Sprechen Sie uns an: Wir bieten flexible Arbeitszeitmodelle und weitere Zusatzleistungen, um Sie in Ihrem Berufsleben zu unterstützen.

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