Credit Risk Modelling – Quantitative Strategist

Deutsche Bank

  • Moorfields, Co Antrim London
  • Permanent
  • Full-time
  • 2 months ago
Job Description:Job Title Credit Risk Modelling – Quantitative StrategistLocation LondonCorporate Title Vice PresidentGroup Strategic Analytics is part of Group Chief Operation Office (COO) which acts as the bridge between the Bank’s businesses and infrastructure functions to help deliver the efficiency, control, and transformation goals of the Bank.The Risk Methodology (RM) team, within Group Strategic Analytics (GSA), is instrumental in developing and maintaining Deutsche Bank Group’s risk measurement methodologies, across diverse set of portfolios, thereby providing both businesses and risk managers with fit-for-purpose tools when it comes to allocating financial resources, managing risk appetite, and making well-informed credit decisions.You will be responsible for the development and maintenance of the Probability of Default/Loss Given Default/Credit Conversion Factor (PD/LGD/CCF) models for the Group’s credit portfolios. You will engage extensively with a variety of stakeholders (Business Lending, Risk, Finance) to build industry-leading models which accurately reflect Deutsche Bank’s risk profile and are compliant with various regulatory requirements.What we’ll offer youA healthy, engaged and well-supported workforce are better equipped to do their best work and, more importantly, enjoy their lives inside and outside the workplace. That’s why we are committed to providing an environment with your development and wellbeing at its centre.You can expect:
  • Hybrid Working - we understand that employee expectations and preferences are changing. We have implemented a model that enables eligible employees to work remotely for a part of their working time and reach a working pattern that works for them
  • Competitive salary and non-contributory pension
  • 30 days’ holiday plus bank holidays, with the option to purchase additional days
  • Life Assurance and Private Healthcare for you and your family
  • A range of flexible benefits including Retail Discounts, a Bike4Work scheme and Gym benefits
  • The opportunity to support a wide ranging CSR programme + 2 days’ volunteering leave per year
Your key responsibilities
  • Responsible for development, implementation, and maintenance of methodologies for credit risk parameters for wholesale portfolios of Deutsche Bank compliant with regulatory requirements to modelling of credit risk parameters
  • Resolution of regulatory and internal findings related to the methodology of credit risk parameters or related models
  • Interaction with senior management and various internal stakeholders from Business, Credit Risk Management, Finance, Capital management
Your skills and experience
  • Educated to university degree (master’s and/or Doctor of Philosophy (PhD) or equivalent qualification/work experience in a quantitative discipline (such as Mathematical Finance/Statistics/Econometrics) with focus on application of theoretical knowledge into practice
  • Deep knowledge/ understanding of the credit risk management and relevant regulations related to the modelling of the credit risk parameters (PD/LGD/CCF) as well as proven experience in internal modelling
  • Strong analytical skills, proven ability to handle and optimise the processing of large datasets, proficiency with advanced statistical techniques as well as hands-on experience with analytical packages (at least Python)
  • Proven experience delivering complex model development projects requiring cross-functional stakeholder syndication and in executing regulatory audits and other external reviews of internal models
  • Effective communication/interpersonal skills, ability to share clear messages and explain complex ideas in an understandable way
How we’ll support you
  • Flexible working to assist you balance your personal priorities
  • A range of flexible benefits that you can tailor to suit your needs
  • We value diversity and as an equal opportunities’ employer, we make reasonable adjustments for those with a disability such as the provision of assistive equipment if required (for example, screen readers, assistive hearing devices, adapted keyboards)
About usis the leading German bank with strong European roots and a global network. Click to see what we do.Deutsche Bank in the UK is proud to have been named in for five consecutive years. Additionally, we have been awarded a Gold Award from Stonewall and named in their for our work supporting LGBTQ+ inclusion.We strive for a 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.

Deutsche Bank