Strategic Corporate Lending Quantitative Analyst (m/f/x) Frankfurt / Mumbai / London

Position Overview

Business/Team Description

Strategic Corporate Lending ("SCL") provides governance around the investment of loan capital into client relationships, and risk manages the approved final hold positions down to pre-defined thresholds set by Credit Risk Management. Loans / lending commitments are often a key component of these relationships with DB's MidCap and Large Cap clients. And are typically issued to support the generation of franchise revenues booked by the product lines across the Corporate Bank ("CB") and the Investment Bank ("IB"). The primary instrument for hedging and managing capital of these loans / lending commitments are synthetic CLOs (or significant risk transfer ("SRT") or credit risk transfer ("CRT") transactions), which reference the underlying loan risk. The Quantitative Analyst [Team] within SCL is primarily responsible for the maintenance of existing, and implementation of new models for risk managing and pricing of these loans and loan portfolios, as well as managing the instruments used to hedge and manage the capital of the lending book.

Key Responsibilities

• Responsible for maintaining and running models for the risk management of the large cap and mid cap lending platforms
• This includes existing and new models for pricing of loans, loan portfolios, as well as existing and new CRT issuances (for example Loss Quantiles, Loan Pricer, Tranche Exhaustion Probability, CRT cost allocation and cost curve)
• Responsible for the Model Risk Management and End-User-Managed-Applications managed within SCL
• That includes ongoing model documentation, validation, recertification, and testing of new and existing models
• Providing quantitative support to various stakeholders within and outside of SCL (for example, SCL Risk and Governance, Risk Analytics, Corporate Bank Lending, Leveraged Debt Capital Markets)
• Managing the migration of models to the DB Kannon Engine

Skills and Experience

• Degree in a Finance, Math, Physics, Statistics, Engineering or Computer Science or a related subject
• Good quantitative, analytic, modelling, pricing, and risk management skills with experience in the financial industry and familiarity with capital calculations; Strong math skills in probability and numerical methods (Monte Carlo)
• Demonstrable problem-solving ability; organized with an ability to manage multiple issues and significant attention to detail
• Good English language skills; Excellent communication skills and initiative to engage with other teams
• Excellent Excel skills including extensive use of formulas, building ad-hoc excel based tools; Good computing and programming skills and experience with programming languages such as DBAnalytics, VBA

What we will offer you:

As the benefits may vary marginally from location to location, it is advisable to use the link to our career page:
https://careers.db.com/explore-the-bank/working-environment/benefits-wellbeing/

In case of any recruitment related questions, please get in touch with Kristina Zimmer.

Contact Kristina Zimmer: +49 (0)69 - 910 40867

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