Senior Specialist - Model Development (f/m/x)

at  Deutsche Bank

POSITION OVERVIEW

* English version below *

YOUR SKILLS AND EXPERIENCES

• Relevant university degree (Master or/and PhD) in a quantitative discipline (e.g. Mathematical Finance/ Statistics/ Econometrics) with focus on application of theoretical knowledge into practice
• Deep knowledge of the credit risk management and relevant regulations to the modelling of the credit risk parameters (PD, LGD, CCF) as well as proven experience in the internal modelling for more than 5 years
• Strong IT / data management and analytical skills as well as advanced experience with relevant statistical and other software packages (at least SAS and Python)
• Proven experience in planning and executing complex model development projects, proven experience in executing regulatory audits and other external reviews of internal models
• Effective communication skills, the ability to share clear messages and explain complex ideas in a understandable way, excellent written and verbal skills in English, good written and verbal skills in German are preferable

DETAILS OF THE ROLE AND HOW IT FITS INTO THE TEAM

The Risk Methodology (RM) division is instrumental in developing and maintaining Deutsche Bank’s credit risk measurement methodologies, thereby providing risk managers with fit-for-purpose tools when it comes to allocating resources, managing risk appetite and making well-judged credit decisions. In addition, Risk Methodology ensures that all models developed within the division fulfil requirements relating to regulatory and economic capital calculations.
Within RM, LGD/CCF Methodology team is primarily responsible for the calibration of Loss-Given-Default (LGD) and Credit Conversion Factors (CCF) parameters across all credit portfolios of Deutsche Bank Group. You will work in an environment that encourages an open communication, provides a mature feedback culture and offers employees a wide range of options to balance the requirements of the work-place with their personal and family needs.

YOUR KEY RESPONSIBILITIES

• Development, implementation and maintenance of methodologies for the credit risk parameters for retail and wholesale portfolios of the Deutsche Bank compliant with regulatory requirements to modelling of credit risk parameters (CRR, EBA GL to PD/LGD, EGIM, etc.)
• Planning, leading and execution of complex long-term projects related to model- and data-specific topics
• Resolution of regulatory and internal findings related to the methodology of credit risk parameters or related models
• Active interaction with senior management, regulators & supervisory authorities