Risk Analyst - Associate
Deutsche Bank AG
Pune, India
6d ago

Risk

The Risk division has a fundamental responsibility to protect the Bank. With group-wide responsibility for the management and control of credit, market, operational and reputational risks, we have a unique vantage point which allows us a holistic view of our businesses and our clients.

Nearly 4,000 employees work together to achieve our ambition to be an industry-leading risk management organisation.

In an increasingly complex environment, risk management is fast-becoming the most sought after place to build a career within the banking world.

Risk at Deutsche Bank is relied upon to help shape the strategy of the organisation and the wider industry agenda.

Position Description

Market Risk Management (MRM) provides an independent view of market risks to Deutsche Bank’s senior management and manages Deutsche Bank’s Market Risk position in an independent and neutral way.

The Market Risk Analysis and Control (MRAC) function is responsible for the provision of all official market risk metrics and core analysis in support of risk management decision making, on behalf of the Market Risk Management department.

The team has a global presence with staff located in London, New York, Berlin, Singapore, Mumbai and Bangalore.

  • The team operates a business / asset class and risk metric aligned organisational matrix supported by central functions.
  • Functionally the team is organised as follows :

  • Asset Class Teams own the front to back process for the asset class, infrastructure optimization, market data optimization, MRM management interface.
  • This team is divided by business e.g. Equity, Credit, FX, Rates, Emerging Markets, and Treasury etc.

  • Metric Production and Analysis - risk position data validation, calculation and reporting of all official market risk exposures and metrics, provision of analysis and commentary across all relevant risk metrics
  • Strategic Production implementation of Historical Simulation and FRTB calculations, process
  • Run the Bank (RTB) Change - continuous improvement, business process reengineering, stability and process optimisation, test execution management
  • Data Quality and Operational Governance - data standards, completeness and accuracy, HV Governance framework, BCBS compliance, governance, documentation (KOP)
  • Reporting strategic reporting and related data requirements, optimisation of reporting inventory and production, branding and quality of key reports
  • COO organisational development, audit management, regulatory liaison
  • Market Data Strategy and analytics (MDS&A) is a function which consolidates all market data activities and responsibilities under a common leadership within MRM&RM.

    The core mandate of the function is to combine all existing activities in the delivery of frameworks, models, processes and controls for market data used in the calculation of our key risk metrics (e.

    g. VaR, PST, EC, EPE), across Market Risk Managers, Change, Market Risk Methodology and Portfolio Stress Testing and the Operations team.

    The team works with the partners in Technology to define and deliver a target state data and systems architecture for market data.

    Furthermore, the Market Data Strategy & Analytics mandate includes responsibility for partnering with other front office and infrastructure partners (e.

    g. Finance and Independent Valuations teams) to improve the effectiveness and efficiency of the Bank’s market data framework.

    The establishment of Market Data Strategy & Analytics also recognizes the increasing importance of market data and DB tools, techniques and supporting processes & controls to the full revaluation based risk measures the Bank has implemented.

    The next phase of embedding these risk measures also requires a strong and sustainable engagement model with front office.

    Position Specific Responsibilities and Accountabilities

    This role is within a new function being set up in Pune to focus on a number of activities across Metric Production and Analysis, Data Quality and Reporting for individual asset classes and Deutsche Bank as a whole.

    The primary responsibilities will be :

  • Risk feed validation, mapping and related control
  • Running of daily, weekly and month risk metrics like VaR, SVaR, IRC etc
  • Review of various risk metrics at a business & portfolio level
  • Generation and review of critical risk reports across different risk metrics VaR / SVaR, ERC, IRC / CVA
  • Support roll out of risk methodology from Monte Carlo Sensitivities based approach to Hist Sim Full Reval
  • Work closely with other MRAC functions, MRMs and Finance teams for risk analysis and resolve issues around respective asset classes
  • Collate and analyse data to help highlight the issues that are impacting the daily production process and contribute to initiatives to resolve them.
  • Contribute to governance forums around BCBS239
  • Support testing of the bank’s risk models e.g Stressed Period Selection etc.
  • Market Data Production :

  • Applying experience and subject matter expertise to perform RTB tasks such as VaR / SVaR impact analysis for both Monte-
  • carlo and Hist Sim methodology, continuous improvement of processes and coordination of changes in market data

  • Take part actively in weekly Scenario Set generation for VaR / SVaR / Economic capital calculation and ensure Scenario sets are released within the cut-off time
  • Analyzing the impacts of time-series changes on group level VaR / SVaR and ability to communicate / coordinate effectively to wider audiences.
  • Liaising with Market risk managers, FO quant, Change teams and Methodology to perform deep dives on data challenges in new market risk models / methodology changes / RNIV and implementation of new regulations such as FRTB and IHC examination
  • Actively take apart in proxy decision making and come up with appropriate proxy choices for a time- series.
  • Perform Stressed-period-selection and analyze results for accuracy and reliability
  • Help specify requirements and test functionality for new feed set up, processes and ability to coordinate with Risk-IT for seamless implementation of new data requirements and process enhancements

    Experience / Exposure

  • Excellent communication skills ability to articulate technical and financial topics with global stakeholders
  • 5+ years of work relevant experience
  • A reliable team player with the motivation to work in a dynamic, international and diverse environment.
  • A committed and motivated individual for self-development and growth
  • Keen interest in various risk frameworks and how they are interconnected for bank’s capital
  • Basic experience in using large datasets with experience in relevant software packages, e.g. MS Excel, MS Access, VBA, and SQL.
  • Experience with additional programming languages is a plus, e.g. Python, Matlab, R, or C++.

  • Knowledge of coding in Python and SAS tool useful
  • Able to multi-task and deliver under tight deadlines
  • Education / Qualifications

  • Grad / post-grad degree. Qualified in a numerate discipline (Engineering / Maths / Statistics) will be plus.
  • Strong understanding of financial markets, products, derivative pricing, and methodology
  • 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.

    Deutsche Bank does not accept unsolicited curriculum vitae from third party vendors.

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