Market Risk Management (MRM) is responsible for managing market risk arising from Deutsche Bank’s trading activities as well as market risk embedded in its lending or primary activities. MRM carries out this responsibility in an independent and neutral way, providing a comprehensive and independent view of market risks to Senior Management.
The primary objective of MRM is to ensure that Business units of the Bank optimize the risk-reward relationship and do not expose it to unacceptable losses. This objective drives all of the activities conducted within MRM and we work closely with risk takers, risk managers and Control and Support groups in the process to ensure these objectives can be met.
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Treasury (incl. Pool, Banking Book Asset Liability Management, Capital Management, Liquidity & Funding)
Private Wealth Management
Global Transactional banking book activities
Global Markets activities across all asset classes with regards to banking book
Other banking book risks (pension, infrastructure etc)
Deutsche Bank has begun an extensive program to ensure compliance with the Interest Rate in Banking Book (IRRBB) standards, defining and implementing risk management framework for banking books across the Intermediate Holding Company (IHC) in US and later on expanding to the global banking books. This role is for an AVP in MRM Banking Book, which includes the following:
Communicate to senior management banking book risk profile in the US.
Implement and maintain a comprehensive framework to identify, measure, monitor & manage market risks
Constant awareness and understanding of the market risks taken by the business areas and communication to senior management and with external stakeholders
Partner with the business units to guide them through adopting risk in banking book programme
Analyze and provide transparency to the senior management for the banking book risk metrics, including Economic Value of Equity (EVE) and Net Interest Income (NII)/ Earnings at Risk sensitivities
Analyse and monitor banking book portfolio risk profile – portfolio measures, Greeks/sensitivities, stress results etc
Built up a risk appetite framework, liaising with front office and other risk functions; understand and challenge the risk rewards of transactions
Liaise with respective asset class risk managers to ensure that risk appetite stays within the limit
Participate and lead working groups to improve risk identification, risk measurement and risk reporting
Create and maintain strong relationships with the different teams in the bank (Front Office, Finance, Other Risk Divisions)
The role reports into the Head of MRM Treasury and Banking Book in the US.
Qualifications & Skills
Intellectual curiosity to learn new products, risk measures, systems
Independency and self motivation
Ability to mobilize under pressure and deliver to the tight deadlines
Ability to lead, manage and influence stakeholders/teams across different functions
Take essential complex decisions on the basis of information made available
Multiple years of experience in a financial markets role preferably in market risk management or Treasury areas
University degree
Understanding of the financial markets, derivatives and market risk
Knowledge of key risk measures (e.g. duration, PV01, VaR, Stress)
As a plus, good understanding of various risk frameworks and how they are interconnected for bank’s capital calculation
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