DBAnalytics is the analytics package used across all divisions of Deutsche Bank for trading and the risk management of cash and derivatives in all asset classes of the bank: rates, credit, foreign exchange, commodities, equities, inflation, corporate finance, money markets, mortgages, hybrids, and emerging markets. Furthermore, DBAnalytics is used in many of the bank's regulatory and portfolio calculations. The new hire will join the Analytics team in London and support equities cash and exotic derivative products.
- Maintaining existing models and implementing new models for pricing and risk management of equity linked products.
- Documenting and testing models
- Supporting the DBAnalytics library to strats, trading, GTO, Risk and Finance
You will have:
- Education: PhD (preferred) in Maths, Physics, Engineering
- 3+ years of experience in the financial services industry working on pricing models. Experience in the banking industry is preferred.
- Strong quantitative skills (stochastic calculus, numerical methods, finite differences, Monte Carlo)
- Knowledge of equities derivatives modelling is a must.
- Some exposure to models of the term structure of interest rates is desirable.
- Good programming skills (C++)
- Strong interpersonal skills
- Excellent spreadsheet ability
You will be:
- A team player, working in partnership with the rest of the DBA team and stakeholders in strats, trading, GTO, Risk and Finance
- Innovative, working on best in class solutions for pricing and risk management
- Disciplined, properly documenting and testing models