Asset and Liability Management

2 days ago

Mumbai, Maharashtra, India Deutsche Bank Full time ₹ 5,00,000 - ₹ 15,00,000 per year

Job Title: Asset and Liability Management (ALM) Model Risk Specialist, AS

Location: Mumbai, India

Role Description

  • The candidate will be part of the Asset & Liability Management (ALM) function and responsible for reducing model risk associated with interest rate risk in the banking book (IRRBB) measurements.
  • The team acts as an intermediary in treasury itself and between the business units and other central functions like Market Risk Management and Model Risk Management. This gives you a unique view into many exciting and important topics.

Treasury

  • Treasury at Deutsche Bank is responsible for sourcing, managing, and optimizing Deutsche Bank's financial resources and providing high-quality steering to the Bank on financial resource deployment.
  • Treasury's fiduciary mandate encompasses the Bank's funding pools, asset and liability management (ALM), liquidity reserves management, and supporting businesses in delivering their strategic targets at the global and local levels. Further, Treasury manages all financial resource optimization to implement the group's strategic objective and maximize long-term return on average tangible shareholders' equity (RoTE).
  • The current role is part of the Treasury Office in Mumbai. The position requires interactions with all key hubs i.e., London, New York, Frankfurt, and Singapore.

Function Description

The Asset & Liability Management (ALM) team inside of Treasury is responsible for Structural risk management for the firm, including Interest Rate Risk in the Banking Book (IRRBB).

Your key responsibilities

  • Lead model governance framework for banking book risk metric models (Delta EVE, Delta NII, Group Wide Stress Test) and various balance sheet models (deposits, loans, mortgages, etc.), which includes ongoing model monitoring, model reviews and model risk tier assessment.
  • Set up model monitoring for new models in coordination with model development and validation team.
  • Understand and explain the implementation of models being used to measure the interest rate risk in banking book.
  • Ensure model inventory and model documentation is up to date.
  • Liaise with Model Risk Management and Risk Methodology Team to identify and remediate model findings.
  • Perform sensitivity analysis for interest rate risk metrics like Delta NII and Delta EVE
  • Understand NII results under different model parameters and scenarios, thereby helping the ALM team with risk-management decisions and scenario analysis
  • Provide risk management support including risk analysis, using existing reports and valuation systems; create reports, presentations, and analyses for senior management
  • Support a bank wide, strategic change project with the target to improve the quality of historical data usage

Your skills and experience

  • University degree with a quantitative focus (Finance, Mathematics, Computer Science, Physics, Economics or other life sciences) is of benefit
  • At least 3 to 4 years of relevant experience in Treasury or Risk Management divisions including areas like Asset & Liability Management, Model Governance, Risk Management, Model Development is a benefit
  • Good knowledge in data analysis and processing (Excel, SQL, Python, SAS, R)
  • Good knowledge of QRM for NII simulation and valuation systems is a benefit
  • Strong written, verbal communication and presentation skills.

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