Quantitative Strategist – Credit Risk And Capital Strats

Deutsche Bank

London, , GB
Hybrid
Xva calculations and modelling
Cross-asset derivative pricing
Programming in c++ and python
You will work on designing and implementing large scale calculations of X-Value Adjustment measures for the cross-asset derivative portfolio of the Investment Bank and collaborate globally with trading, sales, and financial resource management teams

Job Summary

  • You will work on designing and implementing large scale calculations of X-Value Adjustment measures for the cross-asset derivative portfolio of the Investment Bank and collaborate globally with trading, sales, and financial resource management teams.
  • Deutsche Bank offers a hybrid working model, competitive salary, 30 days’ holiday plus bank holidays, private healthcare, and a range of flexible benefits including volunteering leave.
  • The role supports continuous learning and development with coaching from experts and a culture that values diversity and inclusion, including reasonable adjustments for disabilities.

Matching Summary

You will work on designing and implementing large scale calculations of X-Value Adjustment measures for the cross-asset derivative portfolio of the Investment Bank and collaborate globally with trading, sales, and financial resource management teams.

Skills & Requirements

Must-have

  • XVA calculations and modelling
  • Cross-asset derivative pricing
  • Programming in C++ and Python
  • Capital and financial resource optimisation
  • Counterparty credit risk management

Nice-to-have

  • Experience with Exotics trading desks
  • Developer experience with front office grid pricing engines
  • Excellent interpersonal and collaboration skills
  • Hybrid working model
  • Supportive and inclusive work culture

Key Requirements

  • Masters or PhD in quantitative subject
  • Strong understanding of derivative pricing and risk
  • Experience in financial services programming
  • Work experience on XVA or Exotics trading desk preferred

Work Rights

Not specified

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