Counterparty Credit Risk Change - Business Analyst (M/F/X)

Position Overview

Details of the role and how it fits into the team
You will be joining the Change Team for Counterparty Credit Risk (CCR) which has been established within Deutsche Bank's Credit Risk Management (CRM) function - Change the Bank (CTB). The team plays drives the definition, implementation and operational delivery of the modernisation of the bank's internal model method (IMM) infrastructure, including risk system consolidation and modernisation, integration with FO transaction data, and improvements to the IMM Collateral Model for derivatives and security finance. Subsequently, enhancing the service level to CRM, in particular acceleration of credit line data provision to credit officers.

You own business analysis and design tasks in the CCR Change Programme, which ultimately aims to implement models and processes Risk can steer the FO towards adequately risk-cognisant, more client-focused and profitable business, including optimised and efficient utilisation of shareholder capital.

The IMM model uses a large-scale Monte Carlo simulation running on an industrial-strength compute cluster data centre. Daily processing encompasses up to 2 million trading contracts driven by over three thousand risk factors, plus associated collateral instruments, running over 100 thousand Monte Carlo grid nodes for each, plus stress scenario testing, for a total of up to half a trillion daily revaluations.

You will collaborate with quant teams (Strategic Analytics), technology teams (Risk IT and Front Office IT, Operations including Collateral IT), project and programme management colleagues in Change teams, Run-the-Bank (RTB) Credit Model & Metrics Production teams, Credit Officer metric users, and Financial teams. Typical skill-set across these teams includes Quantitative and Mathematical Finance, especially numerical routines including Monte Carlo simulation models, technology talent (especially Python, XML, SQL) and you will be gaining business experience on derivative contract trading lifecycle, including counterparty netting and margining.

Your key responsibilities

• To collaborate with Risk Methodology teams (risk quants) to define improvements to the IMM Monte Carlo simulation, and to work-shop the specifications with Risk Technology to plan and map to system functionality.
• To present expected functionalities to business stakeholders and to peers and management on project and programme management
• To map innovative FO transactional data to the CCR and IMM models. Transactional data includes trade data, but it also includes collateral transactions under ISDA or similar. You will collaborate with senior business analysts and project managers who will guide you and provide training on the job regarding that business data model.
• To include the above analysis results in the relevant functional and business requirements documentation, including "Agile" software conceptual design artefacts (Jiras, Epics, Features). Adequate training on "Agile & Artefacts" will be provided.
• Support of other relevant documentation, including credit risk policy updates to adjust to new capabilities of the risk models and systems, as may be required.
• To prepare and execute User Acceptance Testing (UAT), and to present test case design and test results to RTB business owners and to Technology teams for their defects fixing.
• To support production Go-Live of new models, and to support post production warranty including issue resolution if so required.

Your skills and experiences

• Academic degree (at least Master of Science/Diplom level, doctorate/PhD welcome) in a STEM subject (natural/ hard sciences, technology, engineering, mathematics)
• Expert knowledge of numerical techniques in a relevant field, such as statistical science, or partial differential equations (e.g. tree models, finite differences, but especially Monte Carlo methods).
• Very good technology skills and talent are necessary for the role. This is not a developer role, but some coding experience in a relevant programming language, e.g. Python, C/C++/C#, XML, SQL, will be needed in order to enable system and model testing.
• Strong interest and inquisitiveness about, global financial markets, in particular swaps trading, OTC options, securities including security financing (repos), inclusive of some broad general understanding of the basic concepts.
• If you have pre-existing product knowledge with derivatives (e.g. swaps, forwards and options in fixed income, currencies, credit, others) and securities (bonds, equities), then that will be a bonus. In any case, much deeper product experience will be gained and developed as part of working on the job.
• Exhibit strong analytical skills, ability to deliver tasks self-driven, and capability to make recommendations to management based on data and facts - as well as ability to effectively communicate with a diverse range of stakeholders.

• Any pre-existing knowledge about banking industry risk management models will be welcome, such as Value at Risk (VAR), CCR, IMM, counterparty valuation adjustment risk (CVA), or similar. Any pre-existing knowledge of credit risk management processes, functionality and systems; and regulatory requirements for bank risk management would be an additional bonus.

What we will offer you:
https://careers.db.com/explore-the-bank/working-environment/benefits-wellbeing/
Please note that this may vary slightly from location to location.

In case of any recruitment related questions, please get in touch with Mihriban Solak.
Contact: Mihriban Solak (.+49 (69) 910-45956)

Unsere Werte bestimmen das Arbeitsumfeld, welches wir schaffen möchten - vielfältig, wertschätzend und offen für verschiedene Meinungen. Nur eine Unternehmenskultur, die eine Vielzahl von Perspektiven, sowie kulturellen und gesellschaftlichen Hintergründen vereint, fördert Innovation. Wir setzten auf vielfältige Teams, in welchen die Menschen ihr volles Potential entfalten können - denn das Zusammenführen verschiedener Talente und Ideen spielt eine entscheidende Rolle für den geschäftlichen Erfolg der Deutschen Bank.

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