Market Risk Analysis and Control, AVP

Role Description

Market and Valuation Risk Management (MVRM) provides an independent view of market risks and valuation to Deutsche Banks senior management. Market risk team manages Deutsche Banks Market Risk position in an independent and neutral way.

The Market Risk Analysis and Control (MRAC) Production function is responsible for the provision of all official market risk metrics and core analysis in support of risk management decision making, on behalf of the Market Risk Management department.

The team has a global presence with staff located in London, New York, Singapore, Mumbai and Pune.

The team operates a business/asset class and risk metric aligned organizational matrix supported by central functions.

Functionally the team is organized as follows:

• Asset Class Teams own the front to back process for the asset class, infrastructure optimization, market data optimization, MRM management interface. This team is divided by business e.g. Equity, Credit, FX, Rates, Emerging Markets, and Treasury etc.
• Metric Production and Analysis - risk position data validation, calculation and reporting of all official market risk exposures and metrics, provision of analysis and commentary across all relevant risk metrics
• Strategic Production implementation of FRTB calculations, processes, controls and reporting
• Run the Bank (RTB) Change - continuous improvement, business process reengineering, stability and process optimisation, test execution management
• Data Quality and Operational Governance - data standards, completeness and accuracy, BCBS compliance, governance, documentation (KOP)
• Reporting strategic reporting and related data requirements, optimisation of reporting inventory and production, branding and quality of key reports
• COO organisational development, audit management, regulatory liaison

You will be exposed to risk management techniques viz. analysis/computation of VaR, SVaR, IRC, Backtesting for a diverse range of derivative products. The team is also proficient in combining this risk knowledge with best in class automation and visualization skills including python/VBA/Tableau to provide value added analytical outputs to its stakeholders

Your key responsibilities

This role is within Market Risk Analysis and Control Pune to focus on a number of activities across Metric Production and Analysis, Data Quality and Reporting for individual asset classes and Deutsche Bank as a whole.

You will be a part of the Market Risk Analysis and Control (MRAC) function within MVRM and will be responsible for the VaR Production team which operates at a business/asset class and risk metric aligned organizational matrix supported by central functions.

The primary responsibilities will be:

• Manage the team of Risk & VaR validation, mapping and related control along with hands-on involvement in production where necessary.
• Enabling the team in Running of daily, weekly and month risk metrics like VaR, SVaR, IRC etc
• Review of various risk metrics at a business & portfolio level and control on KPI
• Generation and review of critical risk reports across different risk metrics VaR/ SVaR, PST, IRC/CVA
• Work closely with other MRAC functions, MRMs and Finance teams for risk analysis and resolve issues around respective asset classes
• Collate and analyse data to help highlight the issues that are impacting the daily production process and contribute to initiatives to resolve them.
• Contribute to governance forums around BCBS239
• Support testing of the banks risk models e.g Stressed Period Selection etc.
• Support the analysis and communication of business portfolio level topics to senior management and their committees

Your skills and experience

• University degree in Finance, Economics, Mathematics or other quantitative subject.
• More than 10 years experience in Market Risk within the Financial Market / Investment Banking industry (other relevant backgrounds e.g. Trading, Product Control, IPV will also be considered)
• Proficiency in Python/VBA, Tableau, MS Office tools is desired for the role
• Good understanding of Market Risk workflows e.g. VaR, RNiV, Economic Capital, IRC.
• Excellent communication skills; ability to articulate technical and financial topics with global stakeholders and the team
• A reliable team player with the motivation to work in a dynamic, international and diverse environment
• Able to multi-task and deliver under tight deadlines
• A committed and motivated individual for self-development and growth
• Manage expectations of the team and groom the team to achieve departmental objectives alongside personal development.