Head of Market Data Methodology

Position Overview

Job Title Head of Market Data Methodology

Location London

Corporate Title VP

Market Valuation and Risk Management (MVRM) is responsible for managing market risk and ensuring fair value assessment of Books & Records within Deutsche Bank. The primary market risk objective is to ensure that business units of the bank optimize the risk-reward relationship and do not expose it to unacceptable losses. We work closely with risk takers, risk managers and control and support groups in the process to ensure these objectives can be met.

Market Data Strategy and Analytics (MDSA) is a function within MVRM responsible and accountable for the procurement, analysis and governance of historical Market Data used as inputs in key risk metrics that feed Pillar 1 and Pillar 2 capital under the current and future regulations.

You will be working in the Market Data Strategy and Analytics (MDSA) team in MVRM. As part of the MDSA team, you will have the opportunity to work on fast-paced and high-impact projects like FRTB and IBOR migration. Our Market Data analysts are working with cutting-edge methodologies to provide best-in-class Market Data time series as inputs into the risk models. You will lead the work on innovative projects involving Machine Learning (ML) and statistical techniques, not only to generate high quality historical Market Data but also to forecast trends.

What we’ll offer you

A healthy, engaged and well-supported workforce are better equipped to do their best work and, more importantly, enjoy their lives inside and outside the workplace. That’s why we are committed to providing an environment with your development and wellbeing at its centre.

You can expect:

• Hybrid working arrangements with the opportunity to work in the office and remotely from home

• Competitive salary and non-contributory pension

• 30 days’ holiday plus bank holidays, with the option to purchase additional days

• Life Assurance and Private Healthcare for you and your family

• A range of flexible benefits including Retail Discounts, a Bike4Work scheme and Gym benefits

• The opportunity to support a wide-ranging CSR programme + 2 days’ volunteering leave per year

Your key responsibilities

• Lead quantitative modelling of Market risk data across asset classes, using machine learning and statistical techniques

• Developing data models and proxy methodologies for risk factors across asset classes

• Data validation and forecasting

• Prototyping leading to deployment in production

• Design and implement Market Data framework compliant with principles of FRTB, working closely with Group Strategic Analytics (GSA), Quantitative Analysts, Risk Methodology and IT teams

Your skills and experience

• Educated to Masters/PhD degree in a numerate field (e.g., Quantitative finance, Maths, Physics, Engineering) or equivalent work experience

• Strong quantitative skills including a good mastery of Probability, Statistics, Derivatives Pricing Theory

• Experience as a senior VP in either a market risk methodology role or in a Market Data specialist role in Front office

• Experience in designing system use cases, testing new methodologies

• Excellent written and oral communication skills

How we’ll support you

• Flexible working to assist you balance your personal priorities

• Coaching and support from experts in your team

• A culture of continuous learning to aid progression

• A range of flexible benefits that you can tailor to suit your needs

• We value diversity and as an equal opportunities’ employer, we make reasonable adjustments for those with a disability such as the provision of assistive equipment if required (e.g., screen readers, assistive hearing devices, adapted keyboards)

About us and our teams

Deutsche Bank is the leading German bank with strong European roots and a global network. Click here to see what we do.

Our values define the working environment we strive to create – diverse, supportive and welcoming of different views. We embrace a culture reflecting a variety of perspectives, insights and backgrounds to drive innovation. We build talented and diverse teams to drive business results and encourage our people to develop to their full potential. Talk to us about flexible work arrangements and other initiatives we offer.
We promote good working relationships and encourage high standards of conduct and work performance. We welcome applications from talented people from all cultures, countries, races, genders, sexual orientations, disabilities, beliefs and generations and are committed to providing a working environment free from harassment, discrimination and retaliation.
Visit Inside Deutsche Bank to discover more about the culture of Deutsche Bank including Diversity, Equity & Inclusion, Leadership, Learning, Future of Work and more besides.