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Job Overview

Category

CA, CFA, CMA, MCOM/BCOM, CS

Job Role

Audit Executive

Gender preferred

No Preferences

Functional Area

Work preferred

Work from Office

Qualification

Graduation

Any Graduation

Post Graduation

Any Post Graduation

Description





Job Title-Risk Specialist- Analyst/Associate (Full Time)


Location- Mumbai



Role Description


Market Valuation and Risk Management (MVRM) is responsible for managing market risk and ensuring fair value assessment of Books & Records within Deutsche Bank. The primary market risk objective is to ensure that business units of the bank optimize the risk-reward relationship and do not expose it to unacceptable losses. We work closely with risk takers, risk managers and control and support groups in the process to ensure these objectives can be met.


Market Data Strategy and Analytics (MDSA) is a function within MVRM that is responsible and accountable for the procurement, analysis and governance of historical market data used as inputs in the key risk metric (eg Value at Risk, Economic Capital, Credit Counterparty Risk, Portfolio Stress Test).


The core mandate of the team is split in three main groups:


RtB operations, Governance and Optimization: Key responsibilities include procurement of historical market data, perform data quality checks and remediation where required, generation of market data (DB Analytics) objects, Exposure Info and Pricing Info objects for Historical Simulation Full Revaluation, production of key KPIs & governance, optimization of existing processes, face off to regulatory and audit engagements. Market Data Analytics: Key responsibilities include development of proxy methodologies where historical data does not exist (including new risk factors introduced as a result of IBOR migration), development of approaches for enhanced data quality assessment, specify business requirements for FRTB from a market data perspective (including interplay of ES, NMRF & RTPL), develop analytics supporting gap filling in historical time series and forecasting trends Market Data Strategy: Key responsibilities include driving discussions between FO, IT and MDSA to define the target market data strategy, both from an architectural and functional perspective, Streamline various market data tools/applications in strategic infrastructure and drive the build out of a central market data utility for multiple users/models, ensure data alignment between FO/GVG and Risk, search for synergies with GVG and FO to drive cost efficiency



What we’ll offer you


As part of our flexible scheme, here are just some of the benefits that you’ll enjoy



  • Best in class leave policy

  • Gender neutral parental leaves

  • 100% reimbursement under childcare assistance benefit (gender neutral)

  • Sponsorship for Industry relevant certifications and education

  • Employee Assistance Program for you and your family members

  • Comprehensive Hospitalization Insurance for you and your dependents

  • Accident and Term life Insurance

  • Complementary Health screening for 35 yrs. and above



Your key responsibilities




  • Creating, implementing and documenting quantitative risk models and enhancements

  • Driving discussions and defining requirements with Strats, Risk Methodology and IT for generation of historical time-series for more exotic risk factors

  • Providing quantitative and qualitative justifications for modelling choices, assumptions made, data selection, reliability of model inputs such market data

  • Validating model choices by theoretical proof and support them with empirical evidence (e.g. statistical analysis of historical market data or back-testing)

  • Recalibration of model parameters which are used in the internal risk and capital models for market risk, in particular for Value-at-Risk models

  • Recalibration of the period of significant financial stress for calculating SVaR

  • Recalibration of scaling factors for estimation of materiality of risks-not in the VaR model

  • Theoretical backtesting for the performance measurement of internal models, in particular Value-at-Risk models

  • Develop reports or analytical tools to facilitate robust testing process, including automation in order to drive down costs and improve process.

  • Business & Functional testing skills: ability to write runbooks; Ability to present the results data and any variances clearly to Risk Managers



Your skills and experience




  • Engineering, Economics, Statistics or other numerate discipline with excellent project experience and grades in quantitative and numerical coursework

  • Excellent quantitative and analytical abilities as demonstrated by grades in mathematics/physics/statistics/engineering mathematics,

  • Knowledge of financial pricing models, risk models would be desirable

  • Good high level programming skills for ex. Matlab, Python and experience in numerical coding



How we’ll support you



  • Training and development to help you excel in your career

  • Coaching and support from experts in your team

  • A culture of continuous learning to aid progression

  • A range of flexible benefits that you can tailor to suit your needs



About us and our teams




https://www.db.com/company/company.htm



Our values define the working environment we strive to create – diverse, supportive and welcoming of different views. We embrace a culture reflecting a variety of perspectives, insights and backgrounds to drive innovation. We build talented and diverse teams to drive business results and encourage our people to develop to their full potential. Talk to us about flexible work arrangements and other initiatives we offer.
We promote good working relationships and encourage high standards of conduct and work performance. We welcome applications from talented people from all cultures, countries, races, genders, sexual orientations, disabilities, beliefs and generations and are committed to providing a working environment free from harassment, discrimination and retaliation.





Skills

ValuationStrategyAnalyticsGovernanceInsuranceVaRStatisticsPythoninnovation

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