Portfolio Models and Alpha Model Validation
- Deutsche Bank
- 2 to 7 Yrs
- Maharashtra
- 1 month ago
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Job Description
- Position Overview In Scope of Position based Promotions (INTERNAL only) Job Title: Portfolio Models and Alpha Model Validation Specialist, Associate Location: Mumbai, India Role Description Model Risk Management (MoRM) is responsible for holistic management of model risk. This includes the independent validation of internal models as well as the identification and the monitoring and controlling of model risk. Within MoRM, the Portfolio Models and Alpha validation team is responsible for the validation of all portfolio models developed for Credit Risk (including validation of the Alpha factor designed to capture wrong way risk in derivatives transactions), Business Risk, Operational Risk and Risk Type Diversification. What Well Offer You As part of our flexible scheme, here are just some of the benefits that youll enjoy Best in class leave policy. Gender neutral parental leaves 100% reimbursement under childcare assistance benefit (gender neutral) 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 Independent validation of models and model changes Performance of quantitative analyses including presentation to relevant committees as well as internal and external auditors Enhancement of existing validation concepts Ensure adherence to model risk standards like SR11-07 Your Skills And Experience Academic degree in Mathematics, Statistics, Physics, Econometrics or similar discipline Ability to explain mathematical concepts and results in layman's terms Professional experience 2-7 yrs in Operational risk and Portfolio Risk model development or validation are a requirement Excellent mathematical abilities and an understanding of Linear Algebra, Calculus, Partial Differential Equations, Monte-Carlo Methods, Historical Simulation Methods, finite difference methods and numerical algorithms, statistics, or mathematical finance. Proficient use of programming languages (Python, Matlab, R, C++,) as well as experience in Machine Learning IT affinity; proficient user of MS Office Proficiency and experience in data analysis and evaluation and understanding of IT processes Very good knowledge of Monte Carlos methods and modeling/validation of portfolio models Experience in risk management is beneficial Business fluent written and verbal skills in English, German language skills are beneficial How Well Support You Training and development to help you excel in your career 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: https://www.db.com/company/company.htm 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.,
Employement Category:
Employement Type: Full timeIndustry: BFSI
Role Category: Not Specified
Functional Area: Not Specified
Role/Responsibilies: Portfolio Models and Alpha Model Validation
Contact Details:
Company: Deutsche BankLocation(s): Maharashtra
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Keyskills: Mathematics Statistics Physics Econometrics Linear Algebra Calculus Partial Differential Equations Matlab R C Machine Learning Data Analysis Risk Management English Language German Language
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