Stress Testing Model Validator

7 days ago


Mumbai, Maharashtra, India Deutsche Bank Full time

Job Title:
Model Validation Specialist


Corporate Title:
AVP


Location:
Mumbai


CRO Overview

  • The Chief Risk Office function has Groupwide responsibility for the management and control of all credit, market, operational, enterprise and liquidity risks and has the responsibility of continual development of methods for risk measurement, frameworks and creating a bank wide strong risk culture. Deutsche Bank has been named 'Bank Risk Manager of the Year' by the leading publication for the second consecutive year (2020 & _

Overview

  • You will join the Model Risk Management (MoRM) team which 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 pricing models used for valuation and risk across the bank. _
  • As a Model Validation Specialist you will be responsible for validating models. You will be a specialist who validates the appropriateness of model usages as well as its appropriateness for the existing internal and external banking environment and, if required, carries out your own analysis to assess the models. You will be responsible for creating validation reports. _

What We Offer You

What You'll Do

  • Independently review and challenge the methodologies used to generate scenarios and revalue positions, in particular in the space of PnL stress testing and Value at Risk (incl. recalibration, shock smoothening methodologies etc)
  • Review and challenge the mathematical/theoretical soundness of the model, check independently its implementation, and assess its suitability for the quantity modelled
  • Adhere to the testing framework and augment with expert judgment tests to identify model boundary conditions
  • Engage with model developers and owners and communicate in a structured manner with wider model risk stakeholders on every aspect of the model risk management lifecycle e.g model developer documentation submissions, validation outcomes, compensating controls, model risk assessment etc.
  • Actively engage in the ongoing review of model performance and applicability as well as the validation and review of model changes

Skills You'll Need

  • At least 3 years of experience for AVP in model validation, other quantitative risk management role or Front Office quantitative discipline
  • Excellent mathematical ability with a strong background in stochastic calculus, partial differential equations, Monte-Carlo methods, finite difference methods, numerical algorithms and statistical methods
  • Strong understanding in financial markets (especially derivative pricing), demonstrated by qualifications and experience
  • Understanding of stress testing and VAR methodologies or crossasset pricing models (beneficial)

Skills That Will Help You Excel

  • You have highly analytical skills and handsonmentality.
  • You have experience in coding in Python in a managed codebase or equivalent languages
  • You are a team player and possess excellent communication skills, both written and spoken
  • You are Selfmotivated and proactive.

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
Our values define the working environment we strive to create - diverse, supportive and welcoming of different views. We embrace a culture reflecting a variety of perspectives, insights and backgrounds to drive innovation.

We build talented and diverse teams to drive business results and encourage our people to develop to their full potential.

Talk to us about flexible work arrangements and other initiatives we offer.

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