Model Validation Senior Specialist (f/m/x)

Position Overview

Details of the role and how it fits into the team

The role is to independently review, test and approve models used for the calculation of the Delta EVE risk metric (IRRBB -Interest Rate Risk in the banking book regulatory guidance), according to internal standards consistent with the SR11-07 regulatory guidance. The team is part of the Model Risk Management division of the Risk department of Deutsche Bank.

DB has a strong commitment to promote gender equality at all levels of leadership.

Your key responsibilities

• Receive formal requests from Treasury and Model Developers to validate models used for calculating delta EVE

• Mathematically review models and their suitability for products, conduct independent testing, challenge the business and model developers where necessary, document testing results and outcomes of conceptual and mathematical review in a Model Validation Report reviewed by regulators

• Manage model risk on an ongoing basis by assessing the model developer documentation, model assumptions and model limitations, model changes, imposing conditions for use, raising validation findings etc.

• Pro-actively engage stakeholders to successfully bring validation projects to completion to agreed deadlines and in line with requirements

• Increase the degree of automation of documentation generation and testing by contributing to the development of an internal Python library

Your skills and experiences

• You have an MSc in a highly mathematical subject

• You have solid foundations in analysis, probability, statistics, PDEs

• You are rigorous, deep, precise, disciplined, independent, and persistent

• You are an experienced user of Python and LaTeX and are familiar with SVN or git

• You have an advantage if you know stochastic calculus and its applications to risk neutral pricing models

• You have an advantage if you have familiarity with behavioural modelling widely applied to banking book products

• You have an advantage if you have experience in software development

What we offer

We provide you with a comprehensive portfolio of benefits and offerings to support both, your private and professional needs.

• Emotionally and mentally balanced
  A positive mind helps us master the challenges of everyday life – both professionally and privately. We offer consultation in difficult life situations as well as mental health awareness trainings.

• Physically thriving
  We support you in staying physically fit through an offering to maintain personal health and a professional environment. You can benefit from health check-ups; vaccination drives as well as advice on healthy living and nutrition.

• Socially connected
  Networking opens up new perspectives, helps us thrive professionally and personally as well as strengthens our self-confidence and well-being. You can benefit from PME family service, FitnessCenter Job, flexible working (e.g parttime, hybrid working, job tandem) as well as an extensive culture of diversity, equity and inclusion.

• Financially secure
  We provide you with financial security not only during your active career but also for the future. You can benefit from offerings such as pension plans, banking services, company bicycle or “Deutschlandticket”.

Since our offerings slightly vary across locations, please contact your recruiter with specific questions.

This job is available in full and parttime.

In case of any recruitment related questions, please get in touch with Manuela Niedling.

Contact Manuela Niedling: +49 (69) 910-42911

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