Finance – Global Valuation Group Methodology – Model Control (AVP) recruitment
About Deutsche Bank
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About Global Valuations Group
GVG Methodology is a specialist function within the Global Valuations Group in Finance at Deutsche Bank.
It is primarily responsible for:
• Providing technical assistance and support on current market Valuation Issues e.g. CVA, secured and unsecured derivative discounting, and Fair Value Hierarchy classifications.
• Methodology also inputs into the review of valuation models from a Finance perspective, including the quantification of model reserves and of model uncertainty as appropriate.
• Governance of reserving and IPV methodologies.
• The development of IPV and Fair Value Adjustment Methodologies including the Valuation Policy Framework.
• Ensuring global compliance to policy through a global quality assurance programme.
Responsibilities
The vacancy is for an AVP within the GVG Methodology team specifically focussed on Model Control related activities including model appropriateness, model reserves and model approvals for the complete range of products traded within Asia.
The role will include a large component of building out portfolio, position and model analysis, interrogative methods and infrastructure to support ongoing and tactical analysis.
In addition the role includes involvement in the determination of appropriate model reserves engaging with Model Risk Analytics (MRA) in relation to implementation, product and technical issues and with Global Business Services (GBS) in respect of restrictions placed on model usage, configuration and model/parameter change controls.
The role will involve frequent liaison with Front Office Trading, the GVG IPV teams, Finance Directors as well as consultation with Market Risk Management (MRM), Model Risk Analytics (MRA), Global Business Services (GBS) and the Accounting Policy Advisory Group (APAG), as appropriate.
The Methodology group comprises approximately 10 people globally and is split into asset class specific teams. It acts as a global centre of excellence on valuation issues, governance on IPV and reserving issues, and model approval/appropriateness related processes across the full suite of products traded by the Corporate Investment Bank (CIB) in the various locations.
Requirements
• Excellent academic record including a degree in a numerate subject. A relevant MSc would be useful.
• Certificate in Quantitative Finance or other financial mathematics qualification would be a plus.
• 3 to 5 years relevant experience in an Investment Bank, working in a relevant control function (Product Control, IPV, Risk Control).
• Strong analytical skills and a proven track record at problem solving.
• Working knowledge of derivatives pricing models.
• Strong product knowledge in at least one major asset class. This must include an understanding of both theoretical model related valuation issues as well as practical issues faced in implementation including current market practice.
• Experience in dealing with valuation and reserving involving unobservable or illiquid valuation parameters, i.e. the need for a pragmatic approach that can bridge the gap between theory and practice.
• Strong IT skills are essential given the need interrogate DB trade, analytic and risk infrastructure and to establish robust methods for analysing trades and portfolios in scale. To that end VBA, Excel and Access skills would highly valuable.
• Specialist experience with DB risk engines, intermediate databases and processes would be a distinct advantage.
• Experience of managing projects through to completion.
• Excellent written and verbal communication skills – an ability to deal with a number of different areas within the Bank to achieve prompt resolution of issues. Accountancy qualifications are desirable but not essential.
• The candidate should be self-motivated, proactive, enthusiastic and a team player. They should have an enquiring mind and an analytical, yet practical, mindset in addressing and resolving issues. Good organisational and communication skills are essential, as is an ability to see the big picture and take pragmatic decisions.
About the Rewards you can expect
Deutsche Bank offers a challenging and rewarding career where your contribution is valued and rewarded. We have an inclusive and friendly working environment coupled with excellent facilities and benefits.
Deutsche Bank is an equal opportunity employer who seeks to recruit and appoint the best available person for a job regardless of marital status, sex (including pregnancy), age, religion, belief, race, nationality and ethnic or national origin, color, sexual orientation or disability.
See more at db.com/careers