Senior Model Validator

vor 2 Wochen


Berlin, Deutschland Deutsche Bank Vollzeit

**Overview**
The Model Risk Management (MoRM) team provides independent oversight of the models used across the Bank and provides a holistic view to senior managers. MoRM is responsible for the independent review and risk analysis as well as governance activities.

The role is a Senior Model Validator within the Stress Testing team, which is responsible for model risk management for the model used for Market Risk stress testing, CCAR and EBA as well as trade revaluation approaches used across Risk models.

**Key Responsibilities**:

- Independently review and challenge the methodologies used to generate scenarios and revalue positions, in particular in the space of PnL stress testing and Value at Risk (incl. recalibration, shock smoothening methodologies etc)
- Review and challenge the mathematical/theoretical soundness of the model, check independently its implementation, and assess its suitability for the quantity modelled
- Adhere to the testing framework and augment with expert judgment tests to identify model boundary conditions
- Engage with model developers and owners and communicate in a structured manner with wider model risk stakeholders on every aspect of the model risk management lifecycle e.g model developer documentation submissions, validation outcomes, compensating controls, model risk assessment etc.
- Actively engage in the on-going review of model performance and applicability as well as the validation and review of model changes

**Skills & Qualifications**:

- At least 3 years of experience for AVP in model validation, other quantitative risk management role or Front Office quantitative discipline
- Excellent mathematical ability with a strong background in stochastic calculus, partial differential equations, Monte-Carlo methods, finite difference methods, numerical algorithms and statistical methods
- Strong understanding in financial markets (especially derivative pricing), demonstrated by qualifications and experience
- Understanding of stress testing and VAR methodologies or cross-asset pricing models (beneficial)
- Experience in coding in Python in a managed codebase or equivalent languages
- Excellent communication skills - both written and oral
- Self-motivated and proactive

What we will offer you:
Please note that this may vary slightly from location to location.

In case of any recruitment related questions, please get in touch with Andreas Vogel.

Contact: Andreas Vogel, Phone: +49(151)27727513

Unsere Werte bestimmen das Arbeitsumfeld, welches wir schaffen möchten - vielfältig, wertschätzend und offen für verschiedene Meinungen. Nur eine Unternehmenskultur, die eine Vielzahl von Perspektiven, sowie kulturellen und gesellschaftlichen Hintergründen vereint, fördert Innovation. Wir setzten auf vielfältige Teams, in welchen die Menschen ihr volles Potential entfalten können - denn das Zusammenführen verschiedener Talente und Ideen spielt eine entscheidende Rolle für den geschäftlichen Erfolg der Deutschen Bank.

Unsere Unternehmenskultur setzt hohe ethische Standards und fördert ein gutes Miteinander. Unabhängig von kulturellem Hintergrund, Nationalität, ethnischer Zugehörigkeit, geschlechtlicher und sexueller Identität, körperlichen Fähigkeiten, Religion und Generation freuen wir uns über Bewerbungen talentierter Menschen.
Sprechen Sie uns an: Wir bieten flexible Arbeitszeitmodelle und weitere Zusatzleistungen, um Sie in Ihrem Berufsleben zu unterstützen.

Klicken Sie hier für weitere Informationen zu Vielfalt und Teilhabe in der Deutschen Bank.



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