Counterparty Credit Risk Methodology Strat

Job Title:

Counter party Credit Risk Methodology Strat

Location:

London

You will join the Counter party Credit Risk Methodology team within Group Strategic Analytics (GSA). The team develops and maintains Deutsche Bank’s derivatives exposure engine, simulating exposure profiles for derivatives and securities financing transactions using regulatory‑approved simulation models. The simulated time profiles are used to calculate exposure metrics such as Expected Positive Exposure (EPE), Potential Future Exposure (PFE) and Average Expected Exposure (AEE), which feed into Counter party Credit Risk capital calculations.

You will work closely with Market Risk Management on Basel III projects, including Fundamental Review of the Trading Book (FRTB), Credit Valuation Adjustment (CVA), and Prudential Valuation Adjustment (PVA) for X‑Value Adjustment (XVA).

• Develop and enhance methodology for exposure pricing and path generation in the internal model.
• Support and improve back‑testing and risk monitoring tools (e.g., RNIEE).
• Design, build, and maintain analytical tools and scripts; ensure code and documentation are stored in the Kannon repository and comply with internal governance.
• Assist with internal and external audit responses, addressing queries and producing ad‑hoc analysis.
• Close regulatory, audit, and validation findings promptly; prepare business specifications and code prototypes, and implement code as required.
• Provide expertise and support to stakeholders in Credit Risk Management, Front Office, Finance, and Technology.

• Graduate degree (PhD or MSc) in a quantitative discipline.
• Relevant industry experience in a similar role.
• Strong problem‑solving ability.
• Background in financial mathematics and stochastic calculus.
• Proficiency with a mainstream programming language, preferably Python.
• Excellent interpersonal and communication skills; ability to explain complex concepts to diverse teams.

• Hybrid working model allowing remote work for eligible employees.
• Competitive salary and non‑contributory pension.
• 30 days’ holiday plus bank holidays; option to purchase additional days.
• Life Assurance and Private Healthcare for you and your family.
• Flexible benefits including Retail Discounts, Bike4
  
  Work scheme, and gym benefits.
• Opportunity to support a wide ranging CSR programme and 2 days’ volunteering leave per year.

• Flexible working arrangements.
• Coaching and support from senior experts.
• Individualised flexible benefits.
• Adjustments for individuals with disabilities (e.g., screen readers, assistive devices).

We value diversity and, as an equal‑opportunity employer, we make reasonable adjustments for those with a disability. We welcome applications from all people and promote a positive, fair and inclusive work environment.