Quantitative Strategist

**Job Title: Risk Methodology Analyst**

**Corporate Title**: NCT/Analyst

**Location: Mumbai, India**

Business/Team Description

**Group Strategic Analytics **:Analytics and technology are seen as central to all the main units of the bank, including Investment Bank, Corporate Bank and to Risk and Control functions. The Strategic Analytics team combines expertise in quantitative analytics, modelling, pricing and risk management with deep understanding of system architecture and programming. The primary output is a scalable and flexible Front Office pricing and risk management system with consistent interface to both the Middle Office and Back Office. The consistency in analytics and the technology platform ensures that no arbitrage can exist between various parts of the Bank as well as rational allocation of constrained resources, including risk budget, balance sheet, funding, and capital.

**Risk Methodology **function within Group Strategic Analytics forms a core team within Risk Management to develop models that quantify market and credit risks. Risk Management is responsible for managing fair value risk within Deutsche Bank. Risk management carries out this responsibility in an independent and neutral way, providing a comprehensive and independent view of market risks to Senior Management.

**Market Risk Methodology **team within Risk Methodology is responsible for the development of DB’s capital models for market risk, including the Value-at-Risk (VaR), Stressed Value-at-Risk, Comprehensive Risk Measure and Economic Capital methodology. Those risk metrics are used both for internal purposes to estimate and control market risk as well as for external purpose since they feed measures such as Risk Weighted Assets - Pillar 1 and Risk Bearing Capacity - Pillar 2.

**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 child care assistance benefit (gender neutral)
- Flexible working arrangements
- 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**

**Market Risk**
- Development of complex processes, framework or risk analysis as well as improvements
- Implement, enhance and maintain HS framework to measure market risks across the bank
- Remediation of regulatory as well as external and internal findings against the MR HS models in line with the assigned tasks
- Enhance the conceptual soundness and robustness of implementation of market risk HS as well as “first line of defense” responsibility for the related model risks and related governance (e.g. facilitating the model risk approvals, Risk not in VAR processes, etc )
- Constant awareness and understanding of the key market risks taken by the business areas and communication to senior management and with external stakeholders, challenge the business within assigned areas when required
- Ensure all material risks within assigned areas are captured, stressed appropriately, and reported to senior management
- Oversee and engage in production and analysis of regular market risk reports & presentations
- Management of large-scale (partial) projects in line with the assigned tasks
- Development and improvement of key quantitative models to measure & model market risk taken by the bank
- In cooperation with the asset class teams, develop, implement & document complex quantitative models/ processes changes to capture market risk that is not implemented in one of the standard portfolio tools
- Represent HS Team on group wide internal working groups, committee’s and projects/forums
- Create and maintain strong relationships within risk and key stakeholdersQuality assurance (e.g. 4 eyes principle reviews)

**Your skills and experience**

**Education/ Qualifications**:

- Masters/PhD in Finance, Engineering, Economics, Statistics or other numerate discipline with excellent project experience and grades in quantitative and numerical coursework
- Experience with financial markets in market risk management
- Knowledge of theoretical and practical aspects of quantitative finance and quantitative risk management
- Knowledge of financial pricing models, risk models would be desirable

**Competencies**:

- Programming skills including proficiency in Excel, VBA, SQL, Python & statistical packages eg Matlab
- Extensive analytical skills including a proficiency with mathematical statistics, financial mathematics and derivative pricing
- Sound knowledge of key risk measures (e.g. duration, PV01, VaR, EC) & models across asset classes models
- Understanding of functional, technical and regulatory requirements for the market risk management function both trading and