GTO Department:
DBOI Level: Senior Analyst
Job Title: Financial Engineer in RA&I TREPS Solutions
Reports to: t.b.a.
Submission Date:
No of Positions to be hired (if it is same position) : 3
Time of Work in India London time
Team Size & # of Direct Reports : 5 / 0
Desired Start Date: 3 September 2007
Job Summary
Deutsche Bank is exposed to a wide range of risks, such as credit losses, volatility due to variation in market prices and rates, operational failures and liquidity shortages. The Legal, Risk & Capital (LRC) division manages all aspects of these risks from the analysis of counterparty credit risk and the stress-testing of market movements to the protection of the Bank’s infrastructure, information and capital. Within LRC, Risk Analytics & Instruments is responsible for qualifying DB for the Internal Ratings Based (Advanced) approach under Basel II, rating & scoring methodologies in general, calibration & validation of risk parameters, operational risk methodology and Economic Capital modeling as well as its applications (pricing, Client RaRoC, stress testing, portfolio optimization etc.)
Objective of this role is to provide methodology and implementation solutions to determining the potential credit exposure of structures and exotic trades. The solutions will be used by a different team (RA&I TREPS Production) for the frequent estimation of potential future exposure on the bank’s portfolio. Furthermore, technology support is to be given to the neighboring team “Exposure Management Mumbai”.
Primary Responsibilities
Determining sensitivities and potential future exposure of the portfolio taking into account structured/exotic derivative transactions that cannot be automatically valued by the risk engine
Extension of existing code / implementation of new code to automatically re-value such trades in tactical solutions. This would bases on different in-house pricing models and platforms.
Determining potential credit exposure of structured/exotic trades - this will require getting an understanding of the mechanics and pricing of the transactions and revaluing the entire portfolio using in-house pricing models
Primary Working Relationships
Within the team
With teams RA&I TREPS Production, EMG in Mumbai
With RA&I onshore
With EMG onshore
With Finance onshore
Job Requirements
MSc or PhD in numerical mathematics, statistics, probability, financial mathematics, engineering
Strong knowledge of derivative products
Work experience in credit exposure modeling
Strong knowledge of MS Excel, MS Access and VBA; SQL or other databases
Strong knowledge of computer or scientific languages (C, C++, Matlab, SAS)
Knowledge on numerical simulations, eg. Monte-Carlo
Overall knowledge of financial markets
Team Player
Fluency in English
Excellent written and oral communication skills
Relevant work experience
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GTO Department:
DBOI Level: Senior Analyst
Job Title: Financial Engineer in Team RA&I Operations
Reports to: t.b.a.
Submission Date:
No of Positions to be hired (if it is same position) : 2
Time of Work in India London time
Team Size & # of Direct Reports : 5 / none
Desired Start Date: 3 September 2007
Job Summary
Deutsche Bank is exposed to a wide range of risks, such as credit losses, volatility due to variation in market prices and rates, operational failures and liquidity shortages. The Legal, Risk & Capital (LRC) division manages all aspects of these risks from the analysis of counterparty credit risk and the stress-testing of market movements to the protection of the Bank’s infrastructure, information and capital. Within LRC, Risk Analytics & Instruments is responsible for qualifying DB for the Internal Ratings Based (Advanced) approach under Basel II, rating & scoring methodologies in general, calibration & validation of risk parameters, operational risk methodology and Economic Capital modeling as well as its applications (pricing, Client RaRoC, stress testing, portfolio optimization etc.)
Objective of this role is to identify the impact of adverse economic conditions on the risk profile of the bank (stresstesting) . Also, to run ensure the daily availability of Deutsche Bank’s proprietary RAROC pricing tool and the suitability of its driving risk parameters.
Primary Responsibilities
Testing & updating Reference Portfolio, country parameters, risk-free rate and other parameters
Specifying & testing data migrations & communicating with the Production Team
Updating webpage / documentation after releases and bugfixes
Performing ad-hoc database queries (with DB Visualizer)
Performing / processing ASAP user account requests
Performing CDE stress test runs, pre-and post-processing & reporting of results to IRM and other units in the bank
Performing Capital Impact Studies with the ECE engine for AfK, communicating results ro RA&I (and AfK)
Primary Working Relationships
Within the team
With RA&I onshore
With Industry Risk Management, AfK onshore
Job Requirements
MSc in sciences, mathematics, statistics, finance, engineering
Strong analytical skills
Strong knowledge of MS Excel, MS Access and VBA; SQL or other data bases
Good working knowledge of computer or scientific languages (C, C++, Matlab, SAS)
Ability to gather & organize data
General overall knowledge of financial markets
Knowledge of basic derivative products
Knowledge of Microsoft Word and Powerpoint
Team Player
Fluency in English
Excellent written and oral communication skills
Relevant work experience
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GTO Department:
DBOI Level: Senior Analyst
Job Title: Financial Engineer or Team Head in RA&I TREPS Production
Reports to: t.b.a.
Submission Date:
No of Positions to be hired (if it is same position) : 1
Time of Work in India London time
Team Size & # of Direct Reports : 5 / 0-4
Desired Start Date: 3 September 2007
Job Summary
Deutsche Bank is exposed to a wide range of risks, such as credit losses, volatility due to variation in market prices and rates, operational failures and liquidity shortages. The Legal, Risk & Capital (LRC) division manages all aspects of these risks from the analysis of counterparty credit risk and the stress-testing of market movements to the protection of the Bank’s infrastructure, information and capital. Within LRC, Risk Analytics & Instruments is responsible for qualifying DB for the Internal Ratings Based (Advanced) approach under Basel II, rating & scoring methodologies in general, calibration & validation of risk parameters, operational risk methodology and Economic Capital modeling as well as its applications (pricing, Client RaRoC, stress testing, portfolio optimization etc.)
Objective of this role is to run and maintain a tactical solution which supports the production of risk parameters to measure the counterparty risk on derivatives. Risk metrics to be supplied are, e.g. Potential Future Exposure, Expected Exposure and MtM under stress scenarios. These metrics are used to identify potential limit breaches of Deutsche Bank’s counterparties and to verify the risk appetite of the bank.
Primary Responsibilities
Collecting data enrichment information from Finance – Group Risk Control
Executing existing tactical solutions (VBA under MS Access, Excel) to calculate PFEs
Uploading PFEs into production environment for publication by risk engines
Monitoring and reporting of success rates / failures
Investigation into reasons of failures by checking trade confirmations, databases, code reading
Benchmarking of sample trades with regards to their calculation time
Increase product type coverage by coding of new modules
Validation & Documentation of such coding
Integration of new code modules into existing framework
Front-end development
Adhoc data related tasks and preparation of power-point presentation on related issues
Primary liaison between RA&I TREPS Production team and onshore RAI
Primary Working Relationships
Within the team
With RA&I TREPS Solutions team in Mumbai
With RA&I onshore
With Finance onshore
Job Requirements
MSc or MBA in sciences, mathematics, statistics, finance, engineering
Strong analytical skills
Strong knowledge of MS Excel, MS Access and VBA; SQL or other databases
Programming experience in cross-team projects
Good working knowledge of computer or scientific languages (C, C++, Matlab, SAS)
Ability to gather & organize data
General overall knowledge of financial markets
Knowledge of basic derivative products
Knowledge of Microsoft Word and Powerpoint
Team Player
Fluency in English
Excellent written and oral communication skills
Previous experience in a management / team lead position – demonstrated ability to motivate and manage direct reports
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GTO Department:
DBOI Level: Senior Analyst
Job Title: Financial Engineer in RA&I TREPS Solutions
Reports to: t.b.a.
Submission Date:
No of Positions to be hired (if it is same position) : 3
Time of Work in India London time
Team Size & # of Direct Reports : 5 / 0
Desired Start Date: 3 September 2007
Job Summary
Deutsche Bank is exposed to a wide range of risks, such as credit losses, volatility due to variation in market prices and rates, operational failures and liquidity shortages. The Legal, Risk & Capital (LRC) division manages all aspects of these risks from the analysis of counterparty credit risk and the stress-testing of market movements to the protection of the Bank’s infrastructure, information and capital. Within LRC, Risk Analytics & Instruments is responsible for qualifying DB for the Internal Ratings Based (Advanced) approach under Basel II, rating & scoring methodologies in general, calibration & validation of risk parameters, operational risk methodology and Economic Capital modeling as well as its applications (pricing, Client RaRoC, stress testing, portfolio optimization etc.)
Objective of this role is to provide methodology and implementation solutions to determining the potential credit exposure of structures and exotic trades. The solutions will be used by a different team (RA&I TREPS Production) for the frequent estimation of potential future exposure on the bank’s portfolio. Furthermore, technology support is to be given to the neighboring team “Exposure Management Mumbai”.
Primary Responsibilities
Determining sensitivities and potential future exposure of the portfolio taking into account structured/exotic derivative transactions that cannot be automatically valued by the risk engine
Extension of existing code / implementation of new code to automatically re-value such trades in tactical solutions. This would bases on different in-house pricing models and platforms.
Determining potential credit exposure of structured/exotic trades - this will require getting an understanding of the mechanics and pricing of the transactions and revaluing the entire portfolio using in-house pricing models
Primary Working Relationships
Within the team
With teams RA&I TREPS Production, EMG in Mumbai
With RA&I onshore
With EMG onshore
With Finance onshore
Job Requirements
MSc or PhD in numerical mathematics, statistics, probability, financial mathematics, engineering
Strong knowledge of derivative products
Work experience in credit exposure modeling
Strong knowledge of MS Excel, MS Access and VBA; SQL or other databases
Strong knowledge of computer or scientific languages (C, C++, Matlab, SAS)
Knowledge on numerical simulations, eg. Monte-Carlo
Overall knowledge of financial markets
Team Player
Fluency in English
Excellent written and oral communication skills
Relevant work experience
Contact:
Patricia
VNV Consulting
