Pricing Models Validation-Model Validation Associate

Deutsche Bank

  • Mumbai, Maharashtra
  • Permanent
  • Full-time
  • 1 month ago
Position OverviewModel Risk Management s mission is to manage, independently and actively, model risk globally in line with the bank's risk appetite with responsibility for: Performing robust independent model validation; Ensuring early and proac

Position Overview Model Risk Management s mission is to manage, independently and actively, model risk globally in line with the bank's risk appetite with responsibility for: Performing robust independent model validation; Ensuring early and proactive identification of Model Risks; Designing and recommending Model Risk Appetite; Effectively managing and mitigating Model Risks; Establishing Model Risk metrics; Designing and implementing a strong Model Risk Management and governance framework; Creating bank-wide Model Risk related policies. Pricing Model Validation as part of MoRM is responsible for the independent review and analysis of all derivative pricing models used for valuation and risk across the bank. The role is independently to review and analyse derivative models for pricing and risk management. 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 child care assistance benefit (gender neutral) Flexible working arrangements 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 The role is to independently review and analyse derivative models for pricing and risk management. The role as a Quantitative Analyst in Mumbai will work closely with the pricing validation team in London to produce, analyse and document validation testing. Reviews and analysis require a good understanding of the mathematical models used, implementation methods, products traded in these markets, and the associated risks. In addition to theoretical analysis and review it is required (where appropriate) that model/products are independently implemented in a managed C++ library. The outcome of review and analysis and independent implementation will form the basis of discussion with key model stakeholders including: Front Office Trading; Front Office Quants; Market Risk Managers; and Finance Controllers. Your skills and experience How we ll support you Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms. Strong interest in financial markets (especially derivative pricing) demonstrated by qualifications and/or experience. Experience coding in C++ an advantage. Excellent communication skills both written and oral. PhD qualification in numerate subject such as Mathematics, Financial Mathematics, Physics. Strong candidates with other post-graduate qualifications may also be considered. How we ll support you Training and development to help you excel in your career Flexible working to assist you balance your personal priorities 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 Please visit our company website for further information: 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. Click to find out more about diversity and inclusion at Deutsche Bank.

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