Commodities Model Validation Quantitative Analyst

The Commodities Model Validation Quantitative Analyst role is part of the Model Risk Management (MoRM) team at Deutsche Bank. You will provide independent oversight and governance for senior managers of model analytics and their implementation into the risk architecture that drive valuation, risk and stress results.

You will execute these responsibilities across Commodities and Power products. Reviews and analysis require deep understanding of the mathematical models used, implementation methods, products traded in these markets, and the associated risks.

Key responsibilities include:

• Assessing commodity derivatives models, including their assumptions, methodology, implementation, and limitations
• Applying quantitative methods to evaluate model behaviour and derivative pricing
• Communicating findings, model risks, and recommendations clearly to stakeholders
• Participating in the wider team validation activities and validation initiatives within MoRM

The ideal candidate will have:

• A PhD or Masters in a numerate subject such as Mathematics, Financial Mathematics, Physics, or Statistics
• Strong experience in commodities or related asset classes, with experience in Model Validation or a Front Office Quant role
• Strong mathematical knowledge, including stochastic calculus, partial differential equations, Monte Carlo methods, finite difference methods, and numerical algorithms
• Good understanding of commodity derivatives models or related asset classes, and a strong interest in financial markets and derivative pricing
• Experience coding in Python or working in a managed codebase, with excellent written and verbal communication skills

In terms of benefits, you can expect:

• Hybrid working
• 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