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Treasury Model Validation Specialist, AVP

Treasury Model Validation Specialist, AVP

Deutsche Bank

3 - 8 years

32 - 37 Lacs

Mumbai

Posted:2 days ago| Platform:

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Skills Required

risk management python liquidity latex financial markets sas credit risk var liquidity risk basel stress testing model validation treasury predictive modeling market risk model risk statistical modeling model development ccar risk analytics

Work Mode

Work from Office

Job Type

Full Time

Job Description

:
Job TitleTreasury Model Validation Specialist
Corporate TitleAssistant Vice President
LocationMumbai, India
Role Description

Model Risk Management (MoRM) is responsible for the management of model risk in DB Group. This includes the independent validation of risk models as well as the identification, monitoring & controlling of model risk. Our aim is to identify, aggregate, manage and mitigate model risk across all risk types (market, credit, liquidity, operational and business risk). MoRM is located in Frankfurt, London, New York, Berlin, Bonn and Mumbai.

For our team Treasury Model Validation, being responsible for the validation of all models owned by Deutsche Bank Treasury and legal entities like BHW, which includes IRRBB (Interest Rate Risk in the Banking Book) and liquidity risk models, we are looking for a model validation specialist located in Mumbai.

What well offer you
,

100% reimbursement under childcare assistance benefit (gender neutral)

Sponsorship for Industry relevant certifications and education

Accident and Term life Insurance

Your key responsibilities

Challenge, analyse, test, and independently validate mathematical and statistical risk models used by DB Treasury (mainly interest rate risk and liquidity models).

Design and implementation of challenger models.

Creation of validation reports and communication of validation results in various fora.

Collaborating in the development and maintenance of an internal Python library to improve the efficiency of testing and documentation.

Engaging with the due diligence aspects of the New Product Approval Process, and oversight of model governance for Treasury products.

Your skills and experience

Graduate degree in mathematics or mathematical finance, statistics, physics, or a comparable education or equivalent qualification (PhD or equivalent is not required but would be beneficial).

At least 3 years of experience for AVP in model validation, other quantitative risk management role or Front Office quantitative discipline or experience in academic research.

Strong understanding in financial markets (especially of risk management models, methodologies, and regulations for banking book), demonstrated by qualifications and experience. Prior experience with Interest Rate Risk / Liquidity risk will be very useful.

Strong analytical skills & proven ability to structure and solve problems independently.

Experience with programming languages and using related tools (e.g. Python, LaTeX).

The ability to explain complex mathematical concepts and results to stakeholders.

Self-motivated and solution-oriented team player.

Excellent written and verbal skills in English.

How well support you

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.

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Deutsche Bank

Banking and Financial Services

Frankfurt

approximately 84,000 Employees

2372 Jobs

Key People

Christian Sewing

CEO
Karl von Rohr

President
Garth Ritchie

Former Head of Corporate & Investment Bank

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Treasury Model Validation Specialist, AVP