Beschreibung
Quantitative Analyst for Risk Methodology & New Products Team - OTC derivatives clearing services (f/m) for the Interest Rate Swap (IRS) & Cross Currency Swap (XCCY) Risk Methodology Project Team
Field of Activity
* Development & design of state of the art risk concepts for OTC FX products (FX), Cross Currency Swaps (XCCY) & Interest Rate Swaps (IRS) in order to reflect margin requirements of the Clearing House appropriately
* Autonomous conducting of quantitative analyses related to IRS, XCCY & FX
* Support the internal risk lead with ad-hoc analyses and general consultation
* Consultation of Eurex Clearing by its communications to clearing participants
Qualifications/Skill Profiles
* M.Sc. (eg 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 including empirical, quantitative analysis and methods)
* 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
* Profound knowledge in risk modelling for OTC Derivatives as Interest Rate Swaps, Cross Currency Swaps & OTC FX instruments
* Excellent communication and negotiation skills, a proficient manner as well as project experience
* Experience in 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
* Profound experience in programming/prototyping (preferable fluency in MatLab)
* Highly motivated and engaging nature, positively assertive
Assignment
Full-time starting in February 2016, to be valid for 6 months with option to extend
Location: Frankfurt am Main