Counterparty Credit Risk Methodology Strat

Position Overview

Group Strategic Analytics (GSA) is part of Group Chief Operation Office (COO) which acts as the bridge between the Bank’s businesses and infrastructure functions to help deliver the efficiency, control, and transformation goals of the Bank.

You will be joining GSA, which combines expertise in quantitative analytics, modelling, pricing and risk management with deep understanding of system architecture and programming.
Within Group Strats, the Counterparty Credit Risk Methodology team is responsible for Deutsche Bank’s derivatives exposure engine to simulate exposure profiles for derivatives and securities financing transactions by applying regulatory approved simulation models. The simulated time profiles are the basis to calculate exposure metrics such as Expected Positive Exposure (EPE), Potential Future Exposure (PFE) and Average Expected Exposure (AEE) entering the Economic and Regulatory capital calculations and Counterparty Credit Risk limits. The team is also responsible for Prudential Valuation Adjustments (PVA) on -Value Adjustment (XVA) and Counterparty Credit Risk Stress Testing. You will work together with Front Office, Credit Risk Management, other strats teams, Finance, Model Validation to deliver efficient solutions for our stakeholders and improve the Counterparty Credit Risk management of Deutsche Bank. Day to day work includes analysing and understanding problems raised by stakeholders, defining model changes to address them and either implementing the solution directly or outlining the requirement to another team.
 

What we’ll offer you

A healthy, engaged and well-supported workforce are better equipped to do their best work and, more importantly, enjoy their lives inside and outside the workplace. That’s why we are committed to providing an environment with your development and wellbeing at its centre.

You can expect:  

• Hybrid Working - we understand that employee expectations and preferences are changing. We have implemented a model that enables eligible employees to work remotely for a part of their working time and reach a working pattern that works for them
• Competitive salary and non-contributory pension
• 30 days’ holiday plus bank holidays, with the option to purchase additional days
• Life Assurance and Private Healthcare for you and your family
• A range of flexible benefits including Retail Discounts, a Bike4Work scheme and Gym benefits
• The opportunity to support a wide ranging CSR programme + 2 days’ volunteering leave per year

Your key responsibilities

• Play a leadership role in the Basel IV/ Fundamental Review of the Trading Book (FRTB)/European Central Bank Guide to Internal Models (EGIM) compliant implementation of Counterparty Credit Risk exposure. Solutions proposed should aim to capture the risk as accurately as possible
• Support and drive the specification of the methodology in the credit risk engine for additional derivative/repo products as well as regulatory charges and measures
• Prepare business specifications and implement Python code in the GSA library
• Discuss and present to regulators to ensure approval of methodology changes
• Build strong relationships with our clients in Finance, Front Office, Market Risk Management and Technology.
• Provide technical support and guidance to less experienced team members

Your skills and experience

• Graduate degree (PhD or MSc) in a quantitative discipline
• 5+ years of relevant industry experience in a similar role

• Solid background in financial maths, stochastic calculus, and familiarity with a mainstream programming language preferably Python.
• Excellent interpersonal skills with the ability to collaborate and partner with various teams, and to be able to explain complex concepts effectively

How we’ll support you

• Flexible working to assist you balance your personal priorities
• Coaching and support from experts in your team
• A range of flexible benefits that you can tailor to suit your needs
• 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)

About us

Deutsche Bank is the leading German bank with strong European roots and a global network. Click here to see what we do.

Deutsche Bank in the UK is proud to have been named The Times Top 50 Employers for Gender Equality 2025 for six consecutive years. Additionally, we have been awarded a Gold Award from Stonewall and named in their Top 100 Employers 2024 for our work supporting LGBTQ+ inclusion.

If you have a disability, health condition, or require any adjustments during the application process, we encourage you to contact our Adjustments Concierge on [email protected] to discuss how we can best support you. Alternatively, you can share your phone number, and a member of the team will be happy to call you to talk through your specific requirements.

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