Counterparty Credit Risk Methodology Strat | London, UK

Deutsche Bank; London; Hybrid; GBP 60,000 - 100,000; Full time

Job summary

An established industry player is seeking a Counterparty Credit Risk Methodology Strategist to join their dynamic team in London. This pivotal role involves leading the implementation of innovative risk exposure methodologies and collaborating with various departments to enhance credit risk management. The firm offers a hybrid working model, competitive salary, and a comprehensive benefits package, including generous holiday allowances and private healthcare. If you're passionate about financial mathematics and programming, and eager to make an impact in a supportive environment, this opportunity is perfect for you.

Benefits

Hybrid Working

Competitive Salary

30 Days Holiday

Life Assurance

Private Healthcare

Flexible Benefits

Volunteering Leave

Qualifications

• Graduate degree or equivalent in a quantitative field.
• Relevant industry experience in a similar role.

Responsibilities

• Lead implementation of Counterparty Credit Risk exposure.
• Drive methodology specification in credit risk engine.

Skills

Python

Financial Mathematics

Stochastic Calculus

Communication Skills

Interpersonal Skills

Technical Decision Making

Education

Graduate Degree in Quantitative Discipline

Job description

Counterparty Credit Risk Methodology Strat

Counterparty Credit Risk Methodology Strat

Job Description:

Job Title Counterparty Credit Risk Methodology Strat

Location London

Corporate Title Vice President

Group Strategic Analytics is part of Group Chief Operation Office (COO) which acts as the bridge between the Bank's businesses and infrastructure functions to help deliver the efficiency, control, and transformation goals of the Bank.

Within Group Strats, the Counterparty Credit Risk Methodology team is responsible for Deutsche Bank's derivatives exposure engine 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 Expected Positive Exposure (EPE), Potential Future Exposure (PFE) and Average Expected Exposure (AEE) entering the Economic and Regulatory Capital Calculations and Counterparty Credit Risk limits. The team is also responsible for Prudential Valuation Adjustments on X-Value Adjustments (XVA) and Counterparty Credit Risk Stress Testing.

The team works closely with Front Office, Credit Risk Management, other Strats teams, Finance, Model Validation to deliver efficient solutions for our stakeholders and improve the Counterparty Credit Risk management of the Bank.

You will be analysing and understanding problems raised by stakeholders, defining model changes to address them and either implementing the solution directly or outlining the requirement to another team.

What we'll offer you

A healthy, engaged and well-supported workforce are better equipped to do their best work and, more importantly, enjoy their lives inside and outside the workplace. That's why we are committed to providing an environment with your development and wellbeing at its centre.

You can expect:

• Hybrid Working - we understand that employee expectations and preferences are changing. We have implemented a model that enables eligible employees to work remotely for a part of their working time and reach a working pattern that works for them
• Competitive salary and non-contributory pension
• 30 days' holiday plus bank holidays, with the option to purchase additional days
• Life Assurance and Private Healthcare for you and your family
• A range of flexible benefits including Retail Discounts, a Bike4Work scheme and Gym benefits
• The opportunity to support a wide ranging CSR programme + 2 days' volunteering leave per year

Your key responsibilities

• Play a leadership role in the Basel IV/Fundamental Review of the Trading Book (FRTB)/Guide to Internal Models (EGIM) compliant implementation of Counterparty Credit Risk exposure
• Drive specification of the methodology in the credit risk engine for additional derivative/repo products as well as regulatory charges and measures
• Drive preparation of business specifications and implement Python code in the Group Strategic Analytics library
• Play a management role in discussions with and presentations to regulators to ensure approval of methodology changes
• Build strong relationships with clients in Finance, Front Office, Effective Model Risk Management (MRM) and Technology
• Provide support and technical leadership to less experienced team members

Your skills and experience

• Educated to Graduate degree or equivalent qualification/work experience in a quantitative discipline
• Relevant industry experience in a similar role
• Excellent communication and interpersonal skills
• Technical decision making skills
• Enthusiasm to complete large scale projects
• Solid background in financial mathematics, stochastic calculus, familiarity with a mainstream programming language, preferably Python

How we'll support you

• Flexible working to assist you balance your personal priorities
• A culture of continuous learning to aid progression
• A range of flexible benefits that you can tailor to suit your needs
• We value diversity and as an equal opportunities' employer, we make reasonable adjustments for those with a disability such as the provision of assistive equipment if required (for example, screen readers, assistive hearing devices, adapted keyboards)

About us

Deutsche Bank is the leading German bank with strong European roots and a global network. Click here to see what we do.

Deutsche Bank in the UK is proud to have been named in The Times Top 50 Employers for Gender Equality 2024 for five consecutive years. Additionally, we have been awarded a Gold Award from Stonewall and named in their Top 100 Employers 2024 for our work supporting LGBTQ+ inclusion.

We strive for a culture in which we are empowered to excel together every day. This includes acting responsibly, thinking commercially, taking initiative and working collaboratively.

Together we share and celebrate the successes of our people. Together we are Deutsche Bank Group.

We welcome applications from all people and promote a positive, fair and inclusive work environment.

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