Derivatives Exposure Analyst recruitment

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Overview:

Within Deutsche Bank's Risk Division, Risk Analytics and Instruments (RAI) is responsible for methodological aspects of risk management. This includes rating and scoring methodologies, portfolio modelling for credit and operational risk (Economic and Regulatory capital), derivatives exposure methodology, and the calibration validation of the respective risk parameters. Various applications and tools supporting the capital planning and stress testing process as well as portfolio optimization are managed or supported by the department.

Our international team is located in London, Berlin, Frankfurt, and New York.

Derivatives Exposure London:

We are seeking to fill an open position in the London based Derivatives Exposure team within RAI. The candidate should possess a good mix of client facing, project management and quantitative skills.

The team is responsible for DB's derivatives exposure engine, MATRIX, to simulate exposure profiles for derivatives and securities financing transactions by applying regulatory approved simulation models. The simulated time profiles are the basis to calculate exposure metrics such as EPE (Expected Positive Exposure), PFE (Potential Future Exposure) and AEE (Average Expected Exposure) entering the Economic and Regulatory capital calculations for Counterparty Credit Risk.

The team also works closely with Market Risk Management on Basel III projects such as regulatory CVA (Credit Valuation Adjustment) and CRM (Comprehensive Risk Measure) under Basel 2.5.

Key Responsibilities:

*Support the Basel II/III compliant implementation of derivatives exposure. In particular, specify the methodology, and drive the implementation in the credit risk engine of additional derivative products as well as regulatory charges and measures.
*Participate in discussions with and presentations to regulators.
*Face our clients within the bank, collect their requirements, and understand their business.
*Drive the implementation of our internal clients' requirements in the risk engines of the bank. Work in close collaboration with project managers and senior management.
*Prepare business specifications, code prototypes, and implement tests for DB's credit risk engine.

You will have:

*Graduate degree (PhD or MSc) in a quantitative discipline from a top-tier university.
*Excellent communication and interpersonal skills, as projects can require interaction and synchronisation with other teams.
*Ability to solve problems independently and make decisions.
*Determination to complete large scale projects.
*Solid background in financial maths, stochastic calculus, and familiarity with a mainstream language such as VBA or C++.

You will be:

*A team player, with a positive and flexible attitude
*A Good communicator
*Good at working with others and building relationships
*Flexible and proactive in your work style
*Able to multi-task and work under pressure

Deutsche Bank is an equal opportunity employer who seeks to recruit and appoint the best available person for a job regardless of marital / civil partnership status, sex (including pregnancy), age, religion, belief, race, nationality and ethnic or national origin, colour, sexual orientation or disability.

Please let us know if you require any adjustments to enable you to apply or attend an interview. If you would like to discuss your requirements, or have any concerns about the application process, please contact your recruiter.