Model Validation Lead

vor 3 Wochen


Frankfurt am Main, Deutschland Deutsche Bank Vollzeit

**Model Validation Lead (f/m/x)**:
**Job ID**:R0212762**Full/Part-Time**:Full-time**Regular/Temporary**:Regular**Listed**:2023-11-16**Location**:Frankfurt**Position Overview**:
** englisch Version below **

**Über den Bereich**:
Der Geschäftsbereich Risk spielt eine entscheidende Rolle bei der Identifizierung und Steuerung einer Vielzahl von Risiken, denen die Deutsche Bank im Rahmen ihrer globalen Geschäftstätigkeit ausgesetzt ist - von Kredit
- und Marktrisiken bis hin zu nichtfinanziellen Risiken. Als integraler Bestandteil dieses Geschäftsbereichs hat das Model Risk Management (MoRM) die Aufgabe, eine unabhängige Modellvalidierung durchzuführen und Modellrisiken auf globaler Ebene entsprechend der Risikobereitschaft der Deutschen Bank aktiv zu managen. Die Teams befinden sich in Frankfurt, Berlin, London, New York und Mumbai.

In der MR & DE Validation Unit in Frankfurt konzentrieren Sie sich auf die Entwicklung und Pflege eines zentralen Modellierungs
- und Validierungsservice, der alle Risikomodelltypen und -methoden abdeckt. Wir haben stark in digitale Technologien und Infrastrukturen investiert, um die Deutsche Bank effizienter, widerstandsfähiger und weniger komplex zu machen. Dies ist Ihre Chance, einen wertvollen Beitrag zu leisten und unser Geschäft in einem schnelllebigen Umfeld voranzutreiben.

**Ihre Aufgaben**
- Sie bewerten die Zuverlässigkeit von Markt
- und Kontrahentenkreditrisikomodellen mit Schwerpunkt auf regulatorische (RWA) und ö konomische Kapitalmodelle (ICAAP) für das Marktrisiko.
- Sie analysieren die gesamte Kette des Risikobewertungsprozesses angefangen von der zugrunde liegenden stochastischen Modellierung finanzieller Risikofaktoren bis hin zur Aggregation von Preisen zu Risikomaßen.
- Ihre Bewertung wird ein integraler Bestandteil des Modellrisikomanagementprozesses sein.
- Sie verfassen präzise und umfassende Validierungsberichte, um Entwickler und Führungskräfte gleichzeitig zu erreichen.
- Sie kommunizieren mit allen relevanten Stakeholdern, einschließlich Modellnutzern und Eigentümern sowie Regulierungs
- und Aufsichtsbehörden.

**Ihre Fähigkeiten und Erfahrungen**
- Erfolgreich abgeschlossener Hochschulabschluss (PhD ist ein Plus) in Mathematik, Finanzen, Statistik, Physik oder in einem vergleichbaren Studiengang
- Starker mathematischer Hintergrund in der Wahrscheinlichkeitstheorie, stochastischer Prozesse, Statistik oder Finanzmathematik
- Gute Kenntnisse von Finanzprodukten/ Derivaten und den damit verbundenen finanziellen Risiken sowie Erfahrung in der Marktrisikomodellierung oder -validierung
- Fähigkeit, strukturierte und prägnante Validierungsberichte zu erstellen
- Fließende Englischkenntnisse (in Wort und Schrift)
- Erfahrung in der Durchführung von Datenanalysen und statistischen Tests in Programmiersprachen wie Python, R usw.

Die Stelle wird in Voll
- und in Teilzeit angeboten.

Bitte beachten Sie, dass dies von Standort zu Standort geringfügig variieren kann.

Bei Fragen zum Rekrutierungsprozess steht Ihnen Carolin Adler gerne zur Verfügung.

Kontakt: Carolin Adle r, Tel (+49 3034074778)The Risk division plays a critical role in identifying and managing a wide range of risks to which Deutsche Bank is exposed as part of its global operations - from credit and market risks to non-financial risks. As an integral part of this division, Model Risk Management (MoRM) is tasked with performing independent model validation and actively managing model risk at a global level in line with Deutsche Bank’s risk appetite. Its teams are located in Frankfurt, Berlin, London, New York and Mumbai.

Assigned to the MR & DE Validation unit in Frankfurt, you will focus on developing and maintaining a central modelling and validation service covering various risk model types and methodologies. We have been investing heavily in digital technology and infrastructure with the aim of making Deutsche Bank more efficient, more resilient and less complex. This is your opportunity to make a valuable contribution and help drive our business forward in a fast-paced environment.

**Your key responsibilities**
- Assess the soundness and reliability of market and counterparty credit risk models with the focus on regulatory (RWA) and economical capital models (ICAAP) for market risk
- Analyze the entire chain of the risk evaluation process - starting from the underlying stochastic modelling of financial risk factors to the aggregation of prices into risk measures
- Your assessment will be an integral part of the model risk management process
- Write precise and comprehensive validation reports to reach developers as well as senior management at the same time
- Communicate with all relevant stakeholders including model users and owners as well as regulators and supervisory authorities

**Your skills and experiences**
- Advanced degree (PhD is a plus) in mathematics, finance, statistics, physics, econometrics or a related discipline
- Strong mathematical background i



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