Job Description
Deutsche Bank has challenging and rewarding opportunities within its Market Risk Comprehensive Capital Analysis and Review (CCAR) team. Compliance with the aforementioned is to allow the Federal Reserve Board to evaluate the potential effects of adverse economic and financial market conditions on Bank Holding Company (BHC) capital and therefore measure the ability of the BHC to absorb losses.
The program includes, among other things, the establishment of an Intermediate Holding Company (IHC) and corresponding infrastructure for calculating the components of the Global Market Shocks (GMS) which includes: 1) Trading MTM Loss, 2) CVA loss, 3) Largest Counterparty Default Loss, and 4) Issuer Default Loss. Additionally, projection of market risk RWAs is required.
These positions will be accountable for the successful completion of all stress testing activities, meeting the constantly increasing expectations of both regulators and the business users of outputs. The candidate will help lead MRM CCAR functions with responsibility for the day-to-day execution, program management and co-ordination with senior stakeholders across various areas. The key focus will be on influencing and leveraging the broader organization across the Risk, Finance and Technology functions to deliver against tight timelines. To this end responsibilities will include those listed below (dependent on position).
Desired Skills and Experience
Responsibilities include:
Oversee the implementation, calculation and validation of MRM CCAR GMS components.
Create effective solutions to the strategic MRM CCAR process and actively drive the strategic implementation forward.
Lead the development of the fundamental building blocks and inputs/outputs required of the future-state GMS/RWA calculations and systems.
Drive improvements in risk capture and reporting, working cross-functionally across Market Risk, Finance and IT to obtain/derive results.
Assist in establishing CCAR production process and consistently improve effectiveness of controls.
Provide accurate and timely analysis in support of management decision making.
Lead pro forma and pilot work streams and achieve successful results.
Experience & Skills:
8+ years of experience with Market Risk Management modeling, statistical analyses, or stress testing and scenario analysis.
A strong ability to define stress testing best practices across multiple assets classes, products, and businesses.
Project / program management experience obtained in either a Risk function or Finance.
Strong background in CCAR stress testing and Validation, Economic Capital, and VaR analysis.
Solid understanding of basic risk concepts (the Greeks, Value-at-Risk, stress loss, PD, LGD, EAD).
Solid knowledge of IRC, CRM, CVA, PFE, EE and EPE is preferable.
Excellent understanding of stress testing activities and end-to-end processes.
Experience with statistical tools and risk management tools.
Advanced leadership and communication skills.
Ability to operate effectively at executive level, influence and mobilize the broad support
Must be able to understand and translate complex CCAR regulatory, technical and business needs in order to effectively scope and direct priorities for successful Regulatory Approval.
Education/Certification:
Degree from an accredited college or university with a concentration in Business, Finance, Economics, Engineering, or the Hard Sciences is preferable.
CFA/FRM/PRM certified is preferable.
Monday, October 05, 2015
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