Description
We are looking for a
Quantitative analyst risk methodology OTC derivatives clearing (m/f)
Reference: -en
Start: 04/14
Duration: 6 MM+
Place: in Hesse
Branch: Effekten- und Warenbörsen
Your tasks:
- Design and support the implementation of various valuation models, risk concepts, and quantitative approaches to statistical margin methodologies to appropriately collateralise Clearing House exposures
- Development of new services and products in respect to risk management of a clearing house, including developing tools to monitor P/L, Value-at-Risk, portfolio analytics and in particular cross margining
- Autonomous analysis, design and specification of risk functionalities and consultation on the risk management of new products with Clearing participants
- Quantitative, statistical verification, analysis, and development of existing and new risk models, especially for OTC Swaps (Interest Rate Swaps, Cross-Currency Swaps, FX-Swaps) and Fixed Income derivatives (listed futures and options)
- Testing and benchmarking of new risk models in prototype with productive solution
Your qualifications
- M.Sc. (e.g. M.Sc. in Econometrics) or PhD in a quantitative discipline (Econometrics, Mathematics, Physics, Financial Engineering, Computer Science or any other comparable degree with risk management focus)
- Experience in the field of quantitative risk management for financial and non-financial instruments or comparable research activity
- Know-how of products and market usances in the fields of OTC Swaps (Interest Rate Swaps, Cross-Currency Swaps, FX-Swaps) and Fixed Income derivatives (listed futures and options)
- Profound knowledge in risk modelling for OTC Swaps (Interest Rate Swaps, Cross-Currency Swaps, FX-Swaps) and Fixed Income derivatives (listed futures and options)
- Quantitative, analytical and problem solving skills and the ability to work flexibly in a team environment
- Excellent communication and negotiation skills, a proficient manner as well as project experience
- Quantitative, analytical ability and problem solving skills, in particular product/instrument simulation, risk modelling, model validation and backtesting
- High commitment and motivation, take on responsibility, creativity and the ability to work independently as well as the ability to work flexibly in a team environment
- Proficiency in written and spoken English; additional knowledge of German will be an asset
- Excellent command of MS Office
- Experience with product configuration, pricing and risk analysis performed with the financial software Calypso
- Experience with financial risk management software development in an object oriented library using MatLab will be an advantage
- Experience in other object oriented languages(C++, Java) will be an advantage
- Experience in technical architecture of risk systems will be an advantage
- Highly motivated and engaging nature, positively assertive
Skills:
- Risk manager