Beschreibung
Für einen unserer Kunden (Unternehmensberatung) suchen wir einenQuantitative Analyst for Risk Methodology & New Products Team (m/w) - Listed/OTC Derivatives Clearing Services
Aufgaben:
Design and support the implementation of valuation models, risk concepts and quantitative approaches to margining and collateralisation of Clearing House exposures.
This will include developing tools to hedge derivatives, determine hedging costs and efficiency, monitor P/L and backtesting of results.
Autonomous analysis, design and specification of risk functionalities and consultation on the risk management of hedging concepts with clearing participants.
Testing and benchmarking of models in a Matlab prototype.
Consultation of Eurex Clearing by its communications to clearing participants.
Skills:
M.Sc. or PhD in a quantitative discipline (Econometrics, Mathematics, Physics, Financial Engineering, Computer Science or any other comparable degree with risk management focus (including empirical analysis)
Several years of experience in the field of quantitative risk management for financial and non-financial instruments or comparable research activity
Quantitative, analytical and problem solving skills and the ability to work flexibly in a team environment
Profound knowledge in risk modelling of OTC interest rate swaps and listed interest rate futures and options for at least three years.
Quantitative, analytical ability and problem solving skills, in particular product/instrument simulation, risk modelling, model validation and backtesting.
Experience and profound knowledge in the Calypso Risk Management software package for market data handling, valuation and risk calculations
Excellent communication and negotiation skills, a proficient manner as well as project experience.
Proficiency in written and spoken English; additional knowledge of German will be an asset
Excellent command of MS office
Several years of experience in programming Matlab
Technical architecture experience with risk systems
Highly motivated and engaging nature, positively assertive
Dauer: ab August 2015 für 6 Monate, Verlängerung möglich
Einsatzort: Frankfurt am Main
Wir freuen uns, wenn Sie an einer Zusammenarbeit interessiert sind. Bitte senden Sie uns bei Interesse Ihr Beraterprofil sowie Ihre Honorarvorstellung und den frühesten Beginntermin zu. Vielen Dank!