Counterparty Credit Risk Methodology Strat

Job ID:R0341713Full/Part-Time: Full-timeRegular/Temporary: RegularListed: 2024-09-30Location: London

Position Overview

Job Title Counterparty Credit Risk Methodology Strat

Location London

Corporate Title Associate

Group Strategic Analytics (GSA) is part of Group Chief Operation Office (COO) which acts as the bridge between the Bank’s businesses and infrastructure functions to help deliver the efficiency, control, and transformation goals of the Bank.

You will be joining GSA which combines expertise in quantitative analytics, modelling, pricing and risk management with deep understanding of system architecture and programming.

Within GSA, the Counterparty Credit Risk Methodology team is responsible for Deutsche Bank’s derivatives exposure engine to simulate exposure profiles for derivatives and securities financing transactions by applying regulatory approved simulation models. The simulated time profiles are the basis to calculate exposure metrics such as EPE (Expected Positive Exposure), PFE (Potential Future Exposure) and AEE (Average Expected Exposure) entering the Economic and Regulatory capital calculations for Counterparty Credit Risk. The team also works closely with Market Risk Management on Basel III projects such as Fundamental Review of Trading Book (FRTB) Credit Valuation Adjustment (CVA) and Prudential Valuation adjustment on X-Value Adjustment (XVA).

What we’ll offer you

A healthy, engaged and well-supported workforce are better equipped to do their best work and, more importantly, enjoy their lives inside and outside the workplace. That’s why we are committed to providing an environment with your development and wellbeing at its centre.

You can expect:

• Hybrid Working - we understand that employee expectations and preferences are changing. We have implemented a Hybrid Working Model that enables eligible employees to work remotely for a part of their working time and reach a working pattern that works for them
• Competitive salary and non-contributory pension
• 30 days’ holiday plus bank holidays, with the option to purchase additional days
• Life Assurance and Private Healthcare for you and your family
• A range of flexible benefits including Retail Discounts, a Bike4Work scheme and Gym benefits
• The opportunity to support a wide ranging CSR programme + 2 days’ volunteering leave per year

Your key responsibilities

• Contribute to the methodology development in the path generation model and margin model of Counterparty Credit Risk internal model
• Contribute to the Basel III and FRTB compliant implementation of derivatives exposure models
• Support efforts around internal and external audit response including addressing queries and producing ad hoc analysis
• Drive the timely closure of assigned regulatory/audit/validation findings
• Provide expertise/support to our main stakeholder in Credit Risk Management, Front Office, Finance and Technology

Your skills and experience

• Educated to Bachelor’s degree level or equivalent qualification/relevant work experience preferably in a quantitative discipline (MSc/PhD desirable)
• Demonstrable relevant industry experience in a similar role
• Excellent communication and interpersonal skills, as projects can require interaction and synchronisation with other teams
• Ability to solve problems and make decisions
• Good background in financial maths, stochastic calculus, and familiarity with a mainstream programming language (preferably Python)

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

Deutsche Bank is the leading German bank with strong European roots and a global network. Click here to see what we do.

Deutsche Bank in the UK is proud to have been named in The Times Top 50 Employers for Gender Equality 2024 for five consecutive years. Additionally, we have been awarded a Gold Award from Stonewall and named in their Top 100 Employers 2024 for our work supporting LGBTQ+ inclusion.

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.