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Deutsche Bank
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Asset Liability Management: Trading/Structuring Specialist, VP

Asset Liability Management: Trading/Structuring Specialist, VP

Deutsche Bank

7 - 12 years

37 - 40 Lacs

mumbai

Posted:None| Platform:

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Skills Required

trading risk management python regulatory accounting css project management asset management investment banking business analysis capital market javascript jquery derivatives valuation java html mysql agile asset fixed income finance jira

Work Mode

Work from Office

Job Type

Full Time

Job Description

Job Title: Asset Liability Management: Trading/Structuring Specialist

Corporate Title:

Vice President

Role Description

The candidate will be part of the Asset & Liability Management (ALM) function within Treasury responsible for managing the interest rate risk in the banking book (IRRBB). The team develops, parameterizes, and implements quantitative models to measure the risk across a large and diverse portfolio. The results are used for risk management decisions and regular internal and external reporting. The team recommends and executes hedging and optimization strategies. The team acts as an intermediary in treasury itself and between the business units and other central functions like Market Risk Management. This gives you a unique view into many exciting, complex, and important risk management topics.

Your key responsibilities

Manage risk in the Banking Book typically arising from the impact of interest rate fluctuations on the banks assets and liabilities.

Some of the key tasks and responsibilities of this VP role will be the following:

Monitor and manage structural linear and non-linear risk in the banking book portfolios:
- Understand, review, and investigate drivers of the risk (IR risk duration, convexity, basis, prepayment withdrawal optionality, FX risk, credit risk).
- Develop a thorough understanding of the underlying products (assets and liabilities) driving the banking book risk (BB balance sheet size of c.a. EUR 800bn).
- Develop and structure holistic hedging proposals/ risk management framework involving IR FX swaps, options (floors, caps, swaptions).
- Liaise with the 2nd line control function to get their approval to execute the strategy.
- Ongoing optimization of the existing risk management strategies.
Ongoing review, assessment, and execution of the strategies within given mandate and constraints:
- Engage and instruct the Pool traders (market facing team) for hedge execution.
- Steer the books within given mandates, limits, risk appetite framework, and other constraints and metrics (like regulatory and accounting framework).
- Assess book risk parameters and market sensitivities enabling smooth steering and optimized execution.
Collaborate with colleagues in and outside the team to drive enhancements to the risk management and execution across the regions and businesses.

Your skills and experience

At least 7 years of relevant experience with Structuring, trading or risk management of fixed income products.
Solid foundation of regulatory environment w.r.t IRRBB, other regulatory capital requirements and accounting framework is a plus.
Experience working with senior members across various departments including Treasury, Risk, Product Control, Research, Finance, and Valuations.
Strong analytical skills.
Excellent interpersonal and communication skills
University degree with a quantitative focus (Finance, Mathematics, Computer Science, Statistics).
Proficiency in Python is a plus.

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Asset Liability Management: Trading/Structuring Specialist, VP