Scribd
Upload
126 views1 page

JD Deutsche Bank

This job description is for a Quantitative Analyst role in the Model Risk Management department. The key responsibilities are to independently review and analyze derivative pricing and risk models through activities like validation testing, theoretical analysis, and independent implementation. The role requires strong mathematical and programming skills, as well as experience in areas like stochastic calculus, PDEs, and Monte Carlo methods that are relevant to derivative pricing. Effective communication and people management skills are also important for discussing results with other departments.

Uploaded by

compangel
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
126 views1 page

JD Deutsche Bank

This job description is for a Quantitative Analyst role in the Model Risk Management department. The key responsibilities are to independently review and analyze derivative pricing and risk models through activities like validation testing, theoretical analysis, and independent implementation. The role requires strong mathematical and programming skills, as well as experience in areas like stochastic calculus, PDEs, and Monte Carlo methods that are relevant to derivative pricing. Effective communication and people management skills are also important for discussing results with other departments.

Uploaded by

compangel
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
You are on page 1/ 1

Job Description:

 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:
o Performing robust independent model validation;

o Ensuring early and proactive identification of Model Risks;

o Designing and recommending Model Risk Appetite;

o Effectively managing and mitigating Model Risks;

o Establishing Model Risk metrics;

o Designing and implementing a strong Model Risk Management and governance framework;

o Creating bank-wide Model Risk related policies.

o 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.
o The role is independently to review and analyse derivative models for pricing and risk management.

Position Specific Responsibilities and Accountabilities


 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.

 People Management

Experience/ Exposure
 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.

Education/ Qualifications
 PhD qualification in numerate subject such as Mathematics, Financial Mathematics, Physics.
 Strong candidates with other post-graduate qualifications may also be considered.

You might also like