Pricing Models Validation-Model Validation Analyst
Deutsche Bank AG
Mumbai, India
3d ago

Deutsche Bank Operations International (DBOI) Global Services, a subsidiary of Deutsche Bank, is the bank's global processing arm.

Established with the purpose of building a world-class operating infrastructure for Deutsche Bank's global businesses, DBOI Global Services is an integrated network of six processing centers of excellence in the UK, USA, India and Philippines, delivering 24 / 7 support for the bank and its clients.

Position Overview

Position Description Template

The following template and guidance should be used to provide structure when developing position descriptions. The form can be used flexibly, but it is recommended that all aspects are considered.

For positions identified as GKFH,SLC,SMG,IHC only pre-approved descriptions can be used.

Details of required position

Position(s) Reports to : Alan Leguen

Local Manager

  • For Japan, Poland & US only
  • Profession : Risk Methodology & Model Val.

    Position : 80708626, 80708627, 80708628, 80708629, 80708630.

    Location : Mumbai

    Local Grade (Regional) : ???

    Number of positions required : 5

    Is this a GKFH, SLC, SMG or an *IHC position?

    UK only Yes / No

  • If Yes, only approved position descriptions are to be used for the position / job posting.
  • Position Description

    Model Risk Management’s mission is to manage, independently and actively, model risk globally in line with the bank's risk appetite with responsibility for :

  • Performing robust independent model validation;
  • Ensuring early and proactive identification of Model Risks;
  • Designing and recommending Model Risk Appetite;
  • Effectively managing and mitigating Model Risks;
  • Establishing Model Risk metrics;
  • Designing and implementing a strong Model Risk Management and governance framework;
  • Creating bank-wide Model Risk related policies.
  • Pricing Model Validation as part of MoRM is responsible for the independent review and analysis of all derivative pricing models used for valuation and risk across the bank.

    The role is independently to review and analyse derivative models for pricing and risk management.

    Position Specific Responsibilities and Accountabilities

  • The role is to independently review and analyse derivative models for pricing and risk management.
  • The role as a Quantitative Analyst in Mumbai will work closely with the pricing validation team in London to produce, analyse and document validation testing.
  • Reviews and analysis require a good understanding of the mathematical models used, implementation methods, products traded in these markets, and the associated risks.
  • In addition to theoretical analysis and review it is required (where appropriate) that model / products are independently implemented in a managed C++ library.
  • The outcome of review and analysis and independent implementation will form the basis of discussion with key model stakeholders including : Front Office Trading;
  • Front Office Quants; Market Risk Managers; and Finance Controllers.

    People Management

  • Manage, support, coach and guide new and established team members and supervise their work as required.
  • Experience / Exposure

  • 3 years experience preferably in a Model Validation or a Quant role supporting trading.
  • Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms.
  • Strong interest in financial markets (especially derivative pricing) demonstrated by qualifications and / or experience.
  • Experience coding in C++ in a managed codebase is an advantage.
  • Excellent communication skills both written and oral.
  • Education / Qualifications

  • PhD qualification in numerate subject such as Mathematics, Financial Mathematics, Physics. Strong candidates with other post-
  • graduate qualifications may also be considered.

    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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