Job Description:In Scope of Position based Promotions (INTERNAL only)
Job Title: Model Validation Specialist : IMM Pricing Model validation
Corporate Title: AVP
Location: Mumbai, India
Role Description
Model Risk Management’s mission is to manage, independently and actively, model risk globally in line with the bank’s risk appetite with responsibility for:
- Performing robust independent model validation.
- Ensuring early and proactive identification of Model Risks.
- Designing and recommending model risk appetite.
- Effectively managing and mitigating model risks.
- Establishing Model Risks metrics.
- Designing and implementing a strong Model Risk Management and governance framework.
- Creating bank-wide Market Risk policies.
IMM(Internal Model Method) is a risk management approach used by bank to calculate CCR exposure for derivatives, securities financing transactions(SFTs) and other financial instruments. The IMM Model Validation team as part of MoRM is responsible for independent review and analysis of all IMM forward pricing models used to calculate key components of IMM i.e. Potential Future Exposure (PFE), Expected Exposure (EE), Effective Expected Positive Exposure (EEPE).
What we’ll offer you
As part of our flexible scheme, here are just some of the benefits that you’ll enjoy,
- Best in class leave policy.
- Gender neutral parental leaves
- 100% reimbursement under childcare assistance benefit (gender neutral)
- Sponsorship for Industry relevant certifications and education
- Employee Assistance Program for you and your family members
- Comprehensive Hospitalization Insurance for you and your dependents
- Accident and Term life Insurance
- Complementary Health screening for 35 yrs. and above
Your key responsibilities
- The role is to independently review and validate IMM forward pricing models.
- The role as a Quantitative analyst in Mumbai will work closely with validation team in Berlin and London to produce, analyse and document validation testing.
- Review and analysis require a good understanding of the derivative pricing models, implementation methods, derivative products and associated risks.
- The outcome of review and analysis and independent will form the basis of discussion with key stakeholders including : Front office quants, Market risk managers and Finance Controllers.
Your skills and experience
- Excellent mathematical ability with an understanding of stochastic calculus, Partial differential equations, Longstaff-Schwartz Monte Carlo and Numerical Algorithms
- Strong understanding in financial markets (specially derivative pricing) demonstrated by qualifications and experience.
- Strong understanding of key matrices in IMM – PFE, EE, EEPE, CVA, WWR
- Experience in model validation.
- Proficiency in Python coding.
- Excellent communication skills - both written and oral.
Education/Qualifications
- Academic degree in a quantitative discipline (e.g. Mathematical Finance, Maths , Physics, Financial engineering).
How we’ll support you
- Training and development to help you excel in your career.
- Coaching and support from experts in your team.
- A culture of continuous learning to aid progression.
- A range of flexible benefits that you can tailor to suit your needs.
About us and our teams
Please visit our company website for further information:
https://www.db.com/company/company.htm
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.
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.
