- Play a leadership role in the methodology development of Prudential Valuation Adjustment on XVA and support the improvement and implementation of derivatives exposure models
- Drive the preparation of business specifications, code prototypes, and implement code directly when required
- Play a leadership role in discussions with and presentations to regulators to ensure approval of methodology changes
- Build strong relationships with our clients in Finance, Front Office, MRM and Technology
- Provide technical leadership to less experienced team members
- Graduate degree (PhD or MSc) in a Quantitative Finance discipline
- Demonstrate at least 5 years of relevant industry experience in a similar role, previous experience in Counterparty Credit Risk required
- Proficient in Python
- Excellent communication and interpersonal skills
- Ability to solve problems independently and make decisions
Counterparty Credit Risk Strategist - Berlin, Deutschland - 0010 Deutsche Bank Aktiengesellschaft
Beschreibung
Description
:Details of the role and how it fits into the team
Within GSA, 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 EPE (Expected Positive Exposure), PFE (Potential Future Exposure) and AEE (Average Expected Exposure) entering the Economic and Regulatory capital calculations for Counterparty Credit Risk. The team is also responsible for designing the new methodology around Prudential Valuation adjustment on XVA.
Your key responsibilities
Your skills and experiences
What we offer
We provide you with a comprehensive portfolio of benefits and offerings to support both, your private and professional needs.
Emotionally and mentally balanced
A positive mind helps us master the challenges of everyday life – both professionally and privately. We offer consultation in difficult life situations as well as mental health awareness trainings.
Physically thriving
We support you in staying physically fit through an offering to maintain personal health and a professional environment. You can benefit from health check-ups; vaccination drives as well as advice on healthy living and nutrition.
Socially connected
Networking opens up new perspectives, helps us thrive professionally and personally as well as strengthens our self-confidence and well-being. You can benefit from PME family service, FitnessCenter Job, flexible working (e.g parttime, hybrid working, job tandem) as well as an extensive culture of diversity, equity and inclusion.
Financially secure
We provide you with financial security not only during your active career but also for the future. You can benefit from offerings such as pension plans, banking services, company bicycle or "Deutschlandticket".
Since our offerings slightly vary across locations, please contact your recruiter with specific questions.
This job is available in full and parttime.
In case of any recruitment related questions, please get in touch with Carolin Adler.
Contact: Carolin Adler, Tel
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.