Model Validation Specialist - AVP (m/f/x)

Position Overview

Details of the role and how it fits into the team

The Model Validation Specialist is responsible for the validation of the Group's Counterparty Credit Risk (CCR IMM) derivative pricing models across asset classes. Role holders are Specialists, validating the fitness for purpose of CCR IMM pricing models as well as their appropriateness in the market environment. The focus lies on complex derivative pricing models - requiring detailed analysis, interpretation & judgement calls to be taken as well as highly analytical skills. The candidate needs to lead detailed discussions, build relationships within Risk and communicate across all levels of the organisation.

Your key responsibilities

• Independently review and challenge the derivative pricing models and methodologies used in the Counterparty Credit Risk IMM Pricing.
• Review and challenge the mathematical/ theoretical soundness of the model, check independently its implementation, and assess its suitability for the quantity modelled.
• Engage with model developers and owners and communicate in a structured manner with wider model risk stakeholders on every aspect of the model risk management lifecycle e.g validation outcomes, compensating controls etc.
• Actively engage in the on-going assessment of the model performance and applicability as well as the validation of model changes.
• Ensure compliance with regulatory requirements.

Your skills and experiences

• Understand mathematical models and their implementation in finance as well as OTC exotic derivative products traded in the financial markets together with the associated risks that are inherent from trading these products.
• +3 years relevant experience either as a model developer or validator.
• Highly analytical, hands on practical and team player.
• PhD/ MSc in Science (Maths/ Physics / Engineering).
• Expert in Python.

What we will offer you:
https://careers.db.com/explore-the-bank/working-environment/benefits-wellbeing/
Please note that this may vary slightly from location to location.

In case of any recruitment related questions, please get in touch with Lisa Wallesch.

Contact: Lisa Wallesch ( +(49)15174646901)

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