Model Validation Quantitative Analyst

Deutsche Bank; London; Hybrid; GBP 50,000 - 90,000; Full time

Job description

Job Description

This job is with Deutsche Bank, an inclusive employer and a member of myGwork – the largest global platform for the LGBTQ+ business community. Please do not contact the recruiter directly.

Position Overview

The Model Risk Management (MoRM) team provides oversight and governance for senior managers of model analytics and their implementation into the risk architecture that drive valuation, risk and stress results. Model Validation as part of MoRM is responsible for the review of all derivative pricing models used for valuation and risk across the bank.

As a Quantitative Analyst, you will be reviewing and analysing derivative models for price and risk of interest Rates, FX and Hybrids products.

You can expect:

• Hybrid Working - we understand that employee expectations and preferences are changing. We have implemented a Hybrid Working 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

• Supporting the review, analysis and robust model validation for Interest Rates, Foreign Exchange, Commodities, and Hybrids models.
• Perform model validation testing and derive conclusions regarding the assessment of the model risk involved.
• Study the mathematical models used, implementation methods, products traded in these markets, and the associated risks.
• Present outcomes from reviews and studies in high quality reports to key model stakeholders and senior management.

Your skills and experience

• PhD or Masters qualification in a numerate subject such as Mathematics, Financial Mathematics, Physics or Statistics. Strong candidates with other post-graduate qualifications may also be considered.
• Experience in a Model Validation or Front Office Quant role would be beneficial but not required.
• Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms.
• Some understanding of interest Rates and FX derivative models.
• Strong interest in financial markets (especially derivative pricing) demonstrated by qualifications and/or experience.
• Experience coding in C++ or Python in a managed codebase would be an advantage.

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.
• 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 (e.g. 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.