Risk Methodology Senior Specialist

Responsibilities

• The Risk division has the fundamental responsibility to protect the Bank
• With group-wide responsibility for the management and control of credit, market, operational and reputational risks, we have a unique vantage point, which allows us a holistic view of our businesses and our clients
• Nearly 4,000 employees work together to achieve our ambition to be an industry-leading risk management organisation
• The Risk Methodology (RM) division is instrumental in developing and managing Deutsche Bank’s risk valuation 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 workplace with their personal and family needs
• Development, calibration and maintenance of rating methodologies for the credit risk parameters for both retail and wholesale portfolios of the Deutsche Bank
• Implementation of EBA requirements and other existing and upcoming regulations to modelling of IRB‑A credit risk parameters (CRR, EBA GL to PD/LGD, ECB guide to internal models, Basel III/IV, etc.)
• Resolution of regulatory and internal findings related to the methodology of credit risk parameters or related models
• Efficient processing of large datasets for the purpose of model development or related statistical analyses
• In-depth analysis of the underlying data, identification of data deficiencies and addressing them
• Extensive data and statistical analyses for quantifying credit risk and decision‑making

Qualifications

• Strong analytical skills and ability to solve problems efficiently in a self‑reliant independent manner as well as a part of a large team
• Ability to work efficiently and professionally under tight timelines, provide structured results on a short notice or/and under stressful circumstances
• 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
• Excellent written and verbal skills in English
• Strong IT / data management skills and advanced experience with relevant statistical software packages (SAS, Python) with ability to process and structure large amount of data
• Practical knowledge of the modeling of credit risk parameters (PD, LGD, CCF)