Treasury Model Validation Specialist, AVP

1 week ago


Mumbai, Maharashtra, India Deutsche Bank Full time
Job Description

Treasury Model Validation Specialist, AVP

Position Overview

Job Title: Treasury Model Validation Specialist

Corporate Title: Assistant Vice President

Location: Mumbai, 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 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

- 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 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:

We strive for a 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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