Stress Testing Model Validator
- London, England, United Kingdom London England GB
- Permanent, Full time
- Deutsche Bank
- 16 Sep 18 2018-09-16
You will be joining the Global Model Validation & Governance (GMVG) team.
Job Title: Stress Testing Model Validator Corporate
Title: Assistant Vice President
Division: Risk Location: London
You will be joining the Global Model Validation & Governance (GMVG) team which provides independent oversight and governance for senior managers of model analytics and their implementation into the risk architecture that drive valuation, risk and stress results. GMVG is responsible for the independent review and analysis of all derivative pricing models used for valuation and risk across the Bank.
- Independently reviewing and challenging re-pricing methodologies used within risk models, in particular in the space of stress testing and Value at Risk (VaR)
- Reviewing and analysing the mathematical model, it's implementation method, the products (payoffs) it is applied to, and analysing the associated risks that are inherent with the specific modelling approach
- Adhering to principles of testing framework and augmenting with expert judgment components to identify model boundary conditions, including the independent implementation of pricing methodologies and payoffs in a managed Python and C++ library (where appropriate)
- On-going engagement with model developers and owners and communicating with wider model risk stakeholders on validation outcomes
- Actively engaging in the on-going review of model performance and applicability as well as the validation and review of model changes
Skills & Qualifications:
- Educated to Master's degree level (or equivalent qualification / work experience) in a numerate subject such as Mathematics, Financial Mathematics, Physics or Statistics (PhD or equivalent would be beneficial)
- Experience in model validation or a Front Office quantitative discipline or risk quantitative role or other relevant role
- 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 experience
- A deep understanding of stress testing and VAR methodologies, or cross-asset pricing models (beneficial)
- Experience in coding in C++/Python in a managed codebase (beneficial)
- Excellent communication skills - both written and oral
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.