Counterparty Credit Risk Methodology Strat, AS
Deutsche Bank(1 month ago)
About this role
Associate role within Group Strategic Analytics (Strats) focusing on Counterparty Credit Risk Methodology for Deutsche Bank’s derivatives exposure engine. The team simulates exposure profiles via Monte Carlo to produce metrics such as EPE, PFE and AEE that feed into economic and regulatory capital calculations. The role supports Basel III projects including FRTB CVA and XVA and interfaces with Credit Risk Management, Front Office, Finance and Technology.
Required Skills
- Quantitative Analysis
- Monte Carlo
- Risk Modeling
- Backtesting
- Python
- SQL
- Bitbucket
- Derivatives
- Financial Mathematics
- Data Analysis
+2 more
Qualifications
- Degree in Quantitative Discipline (Engineering, Financial Maths, Statistics)
About Deutsche Bank
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