Market Risk and Portfolio Model Validation Specialist, AS

Deutsche Bank

3 - 7 years

3 - 7 Lacs

Mumbai Maharashtra India

Posted:2 days ago| Platform: Foundit logo

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Skills Required

linear algebra Financial Products model development

Work Mode

On-site

Job Type

Full Time

Job Description

Review and analyze Market Risk and Portfolio models like VaR, ES, EC, RNIV, RNIEC etc.
Understand the mathematical models and implementation methods used, where appropriate, verify models and numerical schemes.
Communicate outcomes of your review and analysis with key model stakeholders including risk managers, validation leads and model development teams as necessary.

Your skills and experience

Educated to Masters/ Doctor of Philosophy (Ph.D.) level or equivalent qualification/ relevant work experience in a quantitative subject such as Mathematics, Physics, Quantitative Finance or Quantitative Economics.
Experience in model validation or model development
Excellent mathematical abilities and an understanding of Linear Algebra, Calculus, Partial Differential Equations, Monte-Carlo Methods, Historical Simulation Methods, finite difference methods and numerical algorithms, statistics, or mathematical finance.
Strong programming skills.
Good knowledge about financial products / derivatives and the financial risks related to them is essential.
Excellent communication skills, both written and verbal
Ability to author structured and concise validation reports.
Fluent in English (written and spoken).

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