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About the Role

The Market Risk Methodology Quantitative Strategist will focus on methodology development and implementing models for Market Risk and Capital calculation, including FRTB, VaR, Stress Testing, and Economic Capital. This role also involves building a scalable Front Office pricing and risk management system.

Responsibilities

• Contribute to the development of market risk model methodology, providing quantitative and qualitative justification for modelling choices with a focus on commodities asset class.
• Focus on building and maintaining market risk models that meet regulatory capital and risk management standards.
• Investigate and understand business problems to provide end-to-end optimized solutions on a scalable platform.
• Participate in the development of production applications implemented in Python and C++.
• Maintain a rigorous focus on system stability, and completeness and accuracy of calculations during development and production.
• Contribute to creating regulatory compliant model documentation for new models and model changes.
• Analyze and explain calculated numbers, partnering with traders, risk managers, and strategist colleagues to continuously improve models and risk management and pricing tools.

Requirements

• Strong experience working on commodities asset class, with market risk models feeding regulatory capital and risk management.
• Solid quantitative background and extensive analytical skills.
• Ability to efficiently solve problems proactively.
• Experience of hands-on development, ideally in Python or C++.
• Understanding of disciplines and tools for delivering robust high-quality applications: source control, unit-testing, regression testing, release and deployment controls.
• Prior exposure to finance, particularly derivatives, value-at-risk, and stress testing is a plus.
• Track record of leading and successfully delivering large-scale projects, including project and stakeholder management.
• Excellent interpersonal skills with experience in people management will be advantageous.

Skills

• Python
• C++
• Market Risk Models
• Regulatory Capital
• Risk Management
• Commodities Asset Class
• Derivatives
• Value-at-Risk
• Stress Testing
• Source Control
• Unit Testing
• Regression Testing
• Release and Deployment Controls

Location

• London

Work Type

• Hybrid Working

Experience Level

• Vice President

Salary/Compensations

• Competitive salary

Benefits

• Non-contributory pension
• 30 days’ holiday plus bank holidays
• Option to purchase additional days
• Life Assurance
• Private Healthcare
• Retail Discounts
• Bike4Work scheme
• Gym benefits
• 2 days’ volunteering leave per year

About the Company

• Deutsche Bank is the leading German bank with strong European roots and a global network.
• Deutsche Bank in the UK is proud to be named in The Times Top 50 Employers for Gender Equality and has been awarded a Gold Award from Stonewall and named in their Top 100 Employers.
• We strive for a culture 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.

Equal Opportunity

• 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 (e.g. screen readers, assistive hearing devices, adapted keyboards).
• We welcome applications from all people and promote a positive, fair and inclusive work environment.