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About the Role

The Counterparty Credit Risk Methodology team is responsible for Deutsche Bank’s derivatives exposure engine, simulating exposure profiles for derivatives and securities financing transactions using regulatory-approved simulation models. These profiles are crucial for calculating exposure metrics like EPE, PFE, and AEE, which feed into Economic and Regulatory capital calculations for Counterparty Credit Risk. The team also collaborates with Market Risk Management on Basel III projects, including FRTB CVA and Prudential Valuation adjustments on XVA.

Responsibilities

Contribute to methodology development focusing on exposure pricing and path generation in the Counterparty Credit Risk internal model.
Develop, support, and enhance Backtesting, Risk‑Not‑Covered in IMM (RNIEE), and other tools to monitor Counterparty Credit Risk model performance.
Design, build, and maintain analytical tools and scripts, ensuring code and documentation are stored in the Kannon repository and comply with internal governance.
Support internal and external audit responses by addressing queries and producing ad hoc analysis.
Drive the timely closure of assigned regulatory, audit, and validation findings.
Provide expertise and support to stakeholders in Credit Risk Management, Front Office, Finance, and Technology.
Drive the preparation of business specifications and code prototypes, implementing code directly when necessary.

Requirements

Graduate degree (PhD or MSc) in a quantitative discipline.
Demonstrable relevant industry experience in a similar role.
Excellent communication and interpersonal skills for effective interaction and synchronization with other teams.
Ability to solve problems independently and make decisions.
Good background in financial mathematics and stochastic calculus.
Familiarity with a mainstream programming language, preferably Python.

Skills

Quantitative analytics
Modelling
Pricing
Risk management
System architecture
Programming
Derivatives exposure simulation
Exposure metrics calculation (EPE, PFE, AEE)
Economic and Regulatory capital calculations
Basel III projects (FRTB CVA, XVA)
Backtesting
Risk-Not-Covered in IMM (RNIEE)
Analytical tool design and development
Scripting
Code and documentation management (Kannon repository)
Audit response and analysis
Business specification preparation
Code prototyping
Financial mathematics
Stochastic calculus
Python

Location

Germany

Work Type

Full-time
Part-time
Hybrid working

Experience Level

Relevant industry experience

Education Level

Benefits

Offers a wide range of benefits covering professional and personal needs.
Emotional well-being support including counseling for difficult life situations and mental health promotion.
Physical fitness support through health maintenance programs and a conducive work environment, including check-ups, vaccinations, and healthy lifestyle advice.
Social networking opportunities through support from pme Familienservice, Job fitness center, flexible working hours (part-time, job tandem, hybrid work), and a culture of diversity, equal opportunity, and inclusion.
Financial security during active career and for the future, supporting flexibility and mobility.
Retirement savings plans.
Employee banking services.
Company bicycle.
Deutschlandticket.

About the Company

Deutsche Bank Group strives for a culture where employees are empowered to excel together daily, acting responsibly, thinking commercially, taking initiative, and working collaboratively.
The company shares and celebrates employee successes.
For over 150 years, Deutsche Bank has been dedicated to being the Global Hausbank for its clients, operating in around 60 countries and across more than 150 nationalities.
Their employees' deep understanding, insights, expertise, and passion help clients navigate a complex world through the Corporate Bank, Private Bank, Investment Bank, or Asset Management (DWS) divisions.
Together, they aim to make a significant impact for clients globally, securing their lasting success and financial security.

Equal Opportunity

We welcome applications from all people and promote a positive, fair and inclusive work environment.