Financial Risk Validation Specialist

2 days ago


Mumbai, Maharashtra, India Deutsche Bank Full time

**Job Description**

Position Overview

Treasury Model Validation Specialist, AVP 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.

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.
  • Certain benefits that you can tailor to suit your needs.


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