Model Validation Senior Specialist (f/m/x)

Position Overview

Details of the role and how it fits into the team

You will join the Model Risk Management (MoRM) team which provides independent 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 independent review and analysis of all pricing models used for valuation and risk across the bank.

Your key responsibilities

• As a Model Senior Validation Specialist, you will be responsible for validating models and the creation of validation reports for market risk models

• You will independently review and challenge the methodologies used to generate scenarios and revalue positions, in the space of PnL stress testing and Value at Risk

• You review and challenge the mathematical/theoretical soundness of the model, check independently its implementation, and assess its suitability for the quantity modelled

• You engage with model developers and owners and communicate in a structured manner with wider model risk stakeholders on every aspect of the model risk management lifecycle e.g model developer documentation submissions, validation outcomes, compensating controls, model risk assessment etc.

• You deal with on-going review of model performance and applicability as well as the validation and review of model changes

Your skills and experiences

• Post-graduate qualification (or equivalent qualification / work experience) in a numerate subject such as Mathematics, Physics, Statistics, Finance (PhD or equivalent is not required but would be beneficial)

• Experience in model validation, other quantitative risk management role or Front Office quantitative discipline

• Excellent mathematical ability with a strong background in stochastic calculus, partial differential equations, Monte-Carlo methods, finite difference methods, numerical algorithms, and statistical methods. Understanding of stress testing and VAR methodologies or cross-asset pricing models is a plus

• You have experience in coding in Python in a managed codebase or equivalent languages

• Self-motivated and proactive team player that possesses excellent communication skills, both written and spoken in English

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 Stefanie Schumann.

Contact Stefanie Schumann: +49 069 910 42578

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