Deutsche Bank

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Originele vacaturetekst

Risk Methodology Specialist (m/f/x) - FRTB Internal Models

Risk Methodology Specialist (m/f/x) - FRTB Internal Models Job ID:R0133273Full/Part-Time: Full-timeRegular/Temporary: RegularListed: 2021-08-18Location: BerlinPosition Overview

The Risk division has the fundamental responsibility to protect the Bank. With group-wide responsibility for the management and control of credit, market, operational and reputational risks, we have a unique vantage point, which allows us a holistic view of our businesses and our clients. Nearly 4,000 employees work together to achieve our ambition to be an industry-leading risk management organisation.

In an increasingly complex environment, risk management is fast becoming the most sought after place to build a career within the banking world. Risk at Deutsche Bank is relied upon to help shape the strategy of the organisation and the wider industry agenda.

Risk Methodology (RM) develops and manages the risk valuation methodologies for Deutsche Bank. The models, methodologies and tools developed in RM are utilized by Risk Managers for the efficient resource allocation, managing the risk appetite and credit decisions in the day to day business process. In addition, RM ensures that the models fulfill the regulatory requirements with regard to regulatory and economic capital calculations.

The Market Risk Methodology team designs methodologies for Historical Simulation VaR and the Internal Model Approach in the FRTB framework. This e.g. includes the design and modelling of Risk Factors across the Trading Book, the set-up of the Expected Shortfall framework within FRTB and the interplay among different internal model components.

The position is based in Berlin and the candidate will work with Deutsche Bank colleagues globally and with colleagues in other risk teams locally in Berlin. This is a key role, which will shape the Historical Simulation VaR and FRTB Internal Models methodology across Business Lines. The candidate’s responsibility will be to design a cutting edge approach for new DB’s Historical Simulation model. You will work in an environment that encourages an open communication, provides a mature feedback culture and offers employees a wide range of options to balance the requirements of the workplace with their personal and family needs.

Responsibilities:

  • Drive the methodology changes and run complex analysis, evaluation & decision-making. Take a responsibility of the timely closure of assigned regulatory/audit/validation findings
  • Develop methodologies to cover very complex risk types within FRTB IMA framework, Historical Simulation VaR model, with focus on Stress Scenario Risk Measure (NMRF model)
  • Provide quantitative and qualitative justifications for modelling choices
  • Data processing: Collecting complex information and processing it ready for decision-making
  • Produce regular and ad-hoc analysis/reports, Investigate Filling algorithms to cope with missing/inadequate market data, development of very complex methods, processes or analysis as well as improvements
  • Lead detailed discussions independently, build internal and external relationships to key stakeholders and communicate across all levels of the organization (incl senior management), Validate model choices by theoretical proof and support them with empirical evidence
  • Drive the analysis and investigations on various ad-hoc topics related to NMRF, ES or VaR across multiple models. Training of junior colleagues and throughout Risk Methodology

Education and Experience:

  • Graduate degree (PhD or MSc) in a quantitative discipline from a top-tier university
  • Demonstrable relevant industry experience in a similar role(FRTB IMA, VaR, backtesting of VaR, regulatory requirements) including IT and data skills including Excel, Python, Matlab
  • Excellent communication and interpersonal skills, as projects can require interaction and synchronization with other teams and high level of particular specialist know-how/methodological expertise necessary. Knowledge of risk management


contact: Melanie Klopsch (melanie.klopsch@db.com)

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.

Klicken Sie hier für weitere Informationen zu Vielfalt und Teilhabe in der Deutschen Bank.

Art des Stellenangebotes:
Intern

Fähigkeiten

  • Es ist kein Abschluss erforderlich

Was wir bieten

Vertrag:
Full/Part-Time: Full-time