Risk Methodology Specialist

  • Negotiable
  • London, England, United Kingdom London England GB
  • Permanent, Full time
  • Deutsche Bank
  • 17 Mar 18 2018-03-17

You will be joining Economic Capital (EC) team within Market Risk Management (MRM), which is responsible for managing market or fair value risk within Deutsche Bank.

Job Title: Risk Methodology Specialist
Corporate Title: Assistant Vice President
Division: Risk
Location: London


You will be joining Economic Capital (EC) team within Market Risk Management (MRM), which is responsible for managing market or fair value risk within Deutsche Bank. The primary objective of MRM is to ensure that Business units of the Bank optimise the risk-reward relationship and do not expose it to unacceptable losses.

The EC Team covers the development and maintenance of internal market risk measures for trading and non-trading (banking book) risks in the Bank. In turn, your measures will be used for risk management and the Bank's Internal Capital Adequacy Assessment Process (ICAAP).

Key Responsibilities:

  • Developing complex processes, framework and risk analysis, along with implementing improvements
  • Implementing, enhancing and maintaining EC framework to measure market risks across the Bank, such as in trading and banking books, focusing on interest rate and Foreign Exchange (FX) risk in the bank book
  • Driving the remediation of regulatory, external and internal findings against the market risk EC models and in line with assigned tasks
  • Enhancing the conceptual robustness of market risk EC implementation, as well as "first line of defense" responsibility for the related model risks and related governance (this includes facilitating the model risk approvals and Risk not relevant in typical EC processes)
  • Maintaining constant awareness and understanding of the key market risks taken by the Business areas
  • Communicating with senior management and external stakeholders, challenging the Business within assigned areas when necessary
  • Ensuring all material risks, within assigned areas, are captured, stressed appropriately, and reported to senior management
  • Overseeing and engaging with the production and analysis of regular market risk reports and presentations
  • Managing large-scale, partial projects in line with the assigned tasks, both cross-divisionally and on an international scale
  • Driving development and improvement of key quantitative models to measure and model market risk that is taken by the Bank
  • Cooperating with the asset class teams to develop, implement and document complex quantitative models and process changes, which capture market risk that is not implemented in one of the standard portfolio tools
  • Representing the EC Team on group-wide internal working groups, committees, projects and forums

Skills & Qualifications:

  • Educated to Bachelor's degree level (Business Administration, Economics and/or Mathematics would be beneficial) or equivalent qualification
  • Strong experience in a financial markets role, with market risk management experience being particularly advantageous
  • Excellent knowledge of both theoretical and practical aspects of quantitative finance and quantitative risk management
  • Previous experience of managing large scale projects independently
  • Significant experience in functional and/or disciplinary management of employees and teams
  • Extensive analytical skills, including a proficiency with mathematical statistics, financial mathematics and derivative pricing
  • Experience of international financial markets, derivatives and market risk
  • Excellent knowledge of key risk measures (including duration, PV01, VaR and EC) and models, across asset classes
  • Working knowledge of functional, technical and regulatory requirements for the market risk management function, in both trading and banking book (including, SREP, IRRBB and Structural FX)
  • Practical experience with industry standards on model risk (such as SR-11-07)
  • Solid understanding of Finance and International Financial Reporting Standards accounting framework
  • Strong communication skills, both verbal and written, with fluency in English

Deutsche Bank is an equal opportunity employer who seeks to recruit and appoint the best available person for a job regardless of marital / civil partnership status, sex (including pregnancy), age, religion, belief, race, nationality and ethnic or national origin, colour, sexual orientation or disability.

Please let us know if you require any adjustments to enable you to apply or attend an interview. If you would like to discuss your requirements, or have any concerns about the application process, please contact your recruiter.