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Model Validation Senior Specialist- Derivative Pricing, AVP

Model Validation Senior Specialist- Derivative Pricing, AVP

Deutsche BankMumbai, India
1 day ago
Job description

In Scope of Position based Promotions (INTERNAL only)

Job Title : Model Validation Senior Specialist- Derivative Pricing, AVP

Location : Mumbai, India

Role 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 Market Risk policies

The Pricing Model Validation team as part of MoRM is responsible for the independent review and analysis of all derivative pricing models used for valuation and pricing across the bank.

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

  • The role is to independently review and analyse derivative models for pricing and risk management across Rates, FX and Hybrids.
  • The role as a Quantitative Analyst in Mumbai will work closely with the pricing validation team in London and Berlin 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.
  • 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.
  • Your skills and experience

  • 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 a high level language primarily Python.
  • Excellent communication skills - both written and oral.
  • Overall 5-8 years of experience in model development, market risk or model validation.
  • Education / Qualifications

  • Academic degree in a quantitative discipline (e.g. Mathematical Finance / Statistics, Maths, Physics, Engineering) with a focus on application.
  • 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
  • About us and our teams

    Please visit our company website for further information :

    https : / / www.db.com / company / company.htm

    We strive for a culture in which we are empowered to excel together every day. This includes acting responsibly, thinking commercially, taking initiative and working collaboratively.

    Together we share and celebrate the successes of our people. Together we are Deutsche Bank Group.

    We welcome applications from all people and promote a positive, fair and inclusive work environment.

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    Pricing Specialist • Mumbai, India

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