Model Validation Specialist

Recruiter
Alexander Mann Solutions (Contingent)
Location
London, United Kingdom
Salary
Competitive
Posted
13 Aug 2022
Closes
20 Aug 2022
Ref
16373339
Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Our client, Deutsche Bank, is a global banking business with strong roots in Germany and operations in over 70 countries. Their large but focused footprint gives them an established position in Europe plus a significant presence in the Americas and Asia Pacific. Deutsche Bank offer their clients commercial and investment banking, retail banking and transaction banking as well as ground-breaking asset and wealth management products and services.

On behalf of Deutsche Bank, AMS are now looking for a Model Validation Specialist to work in their Model Risk Management team based in London/Remote on a PAYE basis.

Overview:

The Model Risk Management (MoRM) team provides independent oversight and governance for senior managers of model analytics and their implementation into the risk architecture that drive valuation, risk and stress testing results. MoRM is responsible for the independent review and analysis of all Treasury pricing models used for valuation, risk management and regulatory risk reporting, in particular IRRBB (Delta EVE) calculation.

Key responsibilities:

The role is as a Model Validation Specialist to independently assess, analyse and test derivative models for pricing, risk management and Delta EVE calculation for IRRBB of Treasury products.
  • Reviews and analysis require deep understanding of the mathematical models used, implementation methods, products traded in these markets, and the associated risks that are inherent from trading these products.
  • Pricing models are tested for the purpose of end of day pricing and regulatory scenario stress testing. Testing scripts are prepared in Python.
  • Test results are documented in a model validation report which is reviewed by regulators and will form the basis of discussion with key model stakeholders including: Treasury; Model Developers; Market Risk Managers; and Finance Controllers.

Skills and Qualifications:
  • PhD or MSc qualification in a numerate subject such as Mathematics, Financial Mathematics, Physics or Statistics.
  • Experience in a Model Validation, Front Office Quant role or other relevant quantitative finance role.
  • Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte Carlo Methods, and Numerical Algorithms.
  • A deep understanding of derivatives pricing models and a strong interest in financial markets demonstrated by qualifications and experience.

Deutsche Bank's Values:

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.

We promote good working relationships and encourage high standards of conduct and work performance. We welcome applications from talented people from all cultures, countries, races, genders, sexual orientations, disabilities, beliefs, and generations and are committed to providing a working environment free from harassment, discrimination and retaliation.

Please note that for the duration of this assignment you will be working as an external resource engaged by AMS based on site at Deutsche Bank

AMS's payroll service is in partnership with Giant, we have worked with them for many years and have good processes in place to ensure you get the best service. If you are successful in your application for this role, your contract will be via Giant. For more information on Giant.

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