Market Risk Analyst - Vaule-at-Risk (VaR) Methodology - FRTB - Quantit

Deutsche Bank is a client-centric global universal bank. One that is leading change and innovation in the industry - championing integrity, sustainable performance and innovation with our clients, and redefining our culture and relationships with each other.

Overview

The Market Risk Methodology team are within Market Risk Management is responsible for the development of DB's capital models for market risk, including the Value-at-Risk (VaR), Stressed Value-at-Risk (SVaR), Comprehensive Risk Measure (CRM) and Economic Capital Methodology (ECM). Those risk metrics are used both for internal purposes to estimate and control market risk as well as for external purposes. The team is also responsible to stay at the forefront of changing market risk regulations and influence the decision making process within Industry Groups.

In the light of the upcoming Fundamental Review of the Trading Book (FRTB), a comprehensive revision of the market risk capital framework, the team is responsible to undertake Quantitative Impact Studies (QIS) with the aim of estimating the firm's market risk capital under the revised FRTB framework.

Market Risk Analysts are being recruited into the Market Risk Methodology team. You will take ownership of individual methodology development items, from the upfront analysis phase and model description, to functional specifications and User Acceptance Testing (UAT).

Key Responsibilities

- Develop and implement quantitative methodologies to be used for market risk measurement as part of the FRTB Quantitative Impact Studies
- Evaluate the impact of the new capital rules for the group but also for particular businesses/desks
- Develop prototypes to test the proposed revised standard rules for capital calculation (Standard Approach) at group and trading desk level
- Define and implement tactical revised methodology for all material non-model able risk factors
- Use in-house systems and prototypes to analyse the multiple criteria through quantitative and qualitative features of the trading desks to be able to use internal models approach to capitalise their trading activities
- Undertake hands on QIS and liaise with other stakeholders within the bank involved with FRTB

You will have:

- Extensive prior experience in the market risk area in financial institutions of similar nature
- Strong quantitative skills including a good mastery of probability, statistics and Derivative Pricing Theory (DPT)
- Strong analytical and communication skills
- Solid experience in coping with large datasets and applying market data methodologies across different product/asset classes
- Mathematical or statistical packages experience (Matlab/SAS)
- Good familiarity with pricing models and their usage/limitations when used under a various VaR methodology (historical simulation, MonteCarlo)
- Good financial product knowledge

You will be:

- Educated to degree level or have equivalent work experience
- A team player, with a positive and flexible attitude and strong attention to detail
- Able to liaise and communicate clearly within finance and with the business

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.

Please note that for the duration of this assignment you will be working as an external resource engaged by Resource Solutions based on site at Deutsche Bank.