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Portfolio Models and Alpha Model Validation Specialist, Associate

Portfolio Models and Alpha Model Validation Specialist, Associate

Deutsche Bank

2 - 7 years

10 - 14 Lacs

Mumbai

Posted:1 day ago| Platform:

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Skills Required

data analysis data validation mathematics operational risk model development matlab risk management python c++ german language calculus machine learning life insurance r model validation portfolio language skills external audit linear algebra

Work Mode

Work from Office

Job Type

Full Time

Job Description

:
Job Title
Portfolio Models and Alpha Model Validation Specialist, Associate
LocationMumbai, India
Role Description

Model Risk Management (MoRM) is responsible for holistic management of model risk. This includes the independent validation of internal models as well as the identification and the monitoring and controlling of model risk.

Within MoRM, the Portfolio Models and Alpha validation team is responsible for the validation of all portfolio models developed for Credit Risk (including validation of the Alpha factor designed to capture wrong way risk in derivatives transactions), Business Risk, Operational Risk and Risk Type Diversification.

What well offer you

100% reimbursement under childcare assistance benefit (gender neutral)

Sponsorship for Industry relevant certifications and education

Accident and Term life Insurance

Your key responsibilities

Independent validation of models and model changes

Performance of quantitative analyses including presentation to relevant committees as well as internal and external auditors

Enhancement of existing validation concepts

Ensure adherence to model risk standards like SR11-07

Your skills and experience

Academic degree in Mathematics, Statistics, Physics, Econometrics or similar discipline

Ability to explain mathematical concepts and results in layman's terms

Professional experience 2-7 yrs in Operational risk and Portfolio Risk model development or validation are a requirement

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.

Proficient use of programming languages (Python, Matlab, R, C++,) as well as experience in Machine Learning

IT affinity; proficient user of MS Office

Proficiency and experience in data analysis and evaluation and understanding of IT processes

Very good knowledge of Monte Carlos methods and modeling/validation of portfolio models

Experience in risk management is beneficial

Business fluent written and verbal skills in English, German language skills are beneficial

How well support you

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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Deutsche Bank

Banking and Financial Services

Frankfurt

approximately 84,000 Employees

2330 Jobs

Key People

Christian Sewing

CEO
Karl von Rohr

President
Garth Ritchie

Former Head of Corporate & Investment Bank

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Portfolio Models and Alpha Model Validation Specialist, Associate