Counterparty Credit Risk Methodology Strat (f/m/x)

Description

You will be joining Group Strategic Analytics (Strats), which combines expertise in quantitative analytics, modelling, pricing and risk management with deep understanding of system architecture and programming.

Within GSA, 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 EPE (Expected Positive Exposure), PFE (Potential Future Exposure) and AEE (Average Expected Exposure) entering the Economic and Regulatory capital calculations for Counterparty Credit Risk. The team also works closely with Market Risk Management on Basel III projects such as FRTB CVA (Credit Valuation Adjustment) and Prudential Valuation adjustment on XVA.

 

Your key responsibili...