Job Description
Job Description:
Job Title- XVA, Exposure and Algo Model Validation Specialist (VP)
Location- Mumbai
Role Description
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 Mumbai, Frankfurt, Berlin, London and New York.
Assigned to the XVA, Exposure and Algo Validation unit in Mumbai, you will focus on developing and maintaining a central modelling and validation service covering all 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.
What we'll offer you
As part of our flexible scheme, here are just some of the benefits that you'll enjoy
• Best in class leave policy
• Gender neutral parental leaves
• 100% reimbursement under childcare assistance benefit (gender neutral)
• Sponsorship for Industry relevant certifications and education
• Employee Assistance Program for you and your family members
• Comprehensive Hospitalization Insurance for you and your dependents
• Accident and Term life Insurance
• Complementary Health screening for 35 yrs. and above
Your key responsibilities
• Review and analyse XVA models for pricing and risk-management which include components in interest rates, Foreign Exchange (FX), equity, credit and commodities
• Understand the mathematical models and implementation methods used, where appropriate, verify models and numerical schemes for pricing in the validation library
• Communicate outcomes of your review and analysis with key model stakeholders including front office trading, front office quants, market risk managers and finance
• Actively engage with the due diligence aspects of the new model approval process and Bank wide strategic initiatives
• Work on enhancements to the XVA Python validation library
• Oversee and supervise a small team for the delivery of validation reviews according to the BoW and within timely manner in the for the Algo BOW.
• The role should provide active and pre-emptive management and supervision of the IMM Pricing team in Mumbai as well as timely delivery of validation work according to plan.
• The role should strive to create an environment of positivity and transparency within the team, by maintaining high standards of management and communication.
Your skills and experience
• Educated to Masters/ Doctor of Philosophy (Ph.D.) level or equivalent qualification/ relevant work experience in a numerate subject such as Mathematics, Physics or Engineering
• Some experience in a model validation or front office quant role
• Excellent mathematical abilities and an understanding of stochastic calculus, partial differential equations, Monte-Carlo methods, finite difference methods and numerical algorithms, statistics or mathematical finance
• High standard in object-oriented programming to contribute to a shared library (predominantly in Python but knowledge of C++ would be an advantage)
• Good knowledge about financial products / derivatives and the financial risks related to them is essential.
• Should have experience of managing people in complex knowledge processes.
• Excellent communication skills, both written and verbal
• Ability to author structured and concise validation reports.
• Fluent in English (written and spoken).
How we'll support you
• Training and development to help you excel in your career
• Coaching and support from experts in your team
• A culture of continuous learning to aid progression
• A range of flexible benefits that you can tailor to suit your needs
Job Title- XVA, Exposure and Algo Model Validation Specialist (VP)
Location- Mumbai
Role Description
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 Mumbai, Frankfurt, Berlin, London and New York.
Assigned to the XVA, Exposure and Algo Validation unit in Mumbai, you will focus on developing and maintaining a central modelling and validation service covering all 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.
What we'll offer you
As part of our flexible scheme, here are just some of the benefits that you'll enjoy
• Best in class leave policy
• Gender neutral parental leaves
• 100% reimbursement under childcare assistance benefit (gender neutral)
• Sponsorship for Industry relevant certifications and education
• Employee Assistance Program for you and your family members
• Comprehensive Hospitalization Insurance for you and your dependents
• Accident and Term life Insurance
• Complementary Health screening for 35 yrs. and above
Your key responsibilities
• Review and analyse XVA models for pricing and risk-management which include components in interest rates, Foreign Exchange (FX), equity, credit and commodities
• Understand the mathematical models and implementation methods used, where appropriate, verify models and numerical schemes for pricing in the validation library
• Communicate outcomes of your review and analysis with key model stakeholders including front office trading, front office quants, market risk managers and finance
• Actively engage with the due diligence aspects of the new model approval process and Bank wide strategic initiatives
• Work on enhancements to the XVA Python validation library
• Oversee and supervise a small team for the delivery of validation reviews according to the BoW and within timely manner in the for the Algo BOW.
• The role should provide active and pre-emptive management and supervision of the IMM Pricing team in Mumbai as well as timely delivery of validation work according to plan.
• The role should strive to create an environment of positivity and transparency within the team, by maintaining high standards of management and communication.
Your skills and experience
• Educated to Masters/ Doctor of Philosophy (Ph.D.) level or equivalent qualification/ relevant work experience in a numerate subject such as Mathematics, Physics or Engineering
• Some experience in a model validation or front office quant role
• Excellent mathematical abilities and an understanding of stochastic calculus, partial differential equations, Monte-Carlo methods, finite difference methods and numerical algorithms, statistics or mathematical finance
• High standard in object-oriented programming to contribute to a shared library (predominantly in Python but knowledge of C++ would be an advantage)
• Good knowledge about financial products / derivatives and the financial risks related to them is essential.
• Should have experience of managing people in complex knowledge processes.
• Excellent communication skills, both written and verbal
• Ability to author structured and concise validation reports.
• Fluent in English (written and spoken).
How we'll support you
• Training and development to help you excel in your career
• Coaching and support from experts in your team
• A culture of continuous learning to aid progression
• A range of flexible benefits that you can tailor to suit your needs
💡 Quick Summary
Seeking a career-building opportunity? The Pricing Model Validation Manager position is now open for candidates interested in the Bank Jobs sector. This role in Mumbai offers a professional environment and growth potential.
Requirement Snapshot: Candidates should possess basic communication skills, a proactive attitude, and the ability to work in a team. Experience in Bank Jobs is a plus.
