Deutsche Bank’s Global Strategic Analytics aims to solve the business problem of creating a scalable and flexible Front Office pricing and risk management system with consistent interfaces to Middle and Back Offices, ensuring no arbitrage and rational allocation of resources.
Requirements
- Strong quantitative analytic and modelling understanding with practical pricing and risk management experience especially on exotics modelling on interest rates, credit and FX derivative space
- Strong programming skills utilizing languages such as Python or C++ in large-scale environment
- Strong understanding of math skills in probability, stochastic calculus, and numerical methods
- Ability to work on both “back end” (analytics/pricing code) as well as “front end” (user-facing application / user interface (UI) code)
Responsibilities
- Implementing the automation of all Pnl processes and existing risk processes and enable appropriate controls (market object, model choice, calibration choice, booking exception policy)
- Responsible for developing solutions to automate computation reserves, Independent Price Verification (IPV), aged inventory report, secured funding curves, and creation of database to support modeling and hedging algorithms
- Working in collaboration with Trading, Structuring, Finance, Market Risk, Technology and Operations to support and drive the build-out of strategic analytics platform
- Migrate all businesses risk management and valuation to the single strategic analytics platform, starting with Rates, Credit and Foreign Exchange (FX) Trading
Other
- Previous experience working within a quantitative analyst position, ideally within an Investment Banking or Financial services company
- Collaborate with the global Strats team in London, New York, and Asia Pacific
- Build and develop relationships with key stakeholders, both within Strategic Analytics group and beyond
- Contribute to the strategic direction and evolution of the platform
- An open mind and aspiration to use, learn, and extend a large codebase designed to solve complex business problems
