Beschreibung
Aufgaben:We are currently looking for a quantitative analyst (f/m) for derivative products for an interesting project in the financial industry.
Your tasks include:
+ Design and support the implementation of valuation models, risk concepts and quantitative approaches to margining and collateralisation of Clearing House exposures
+ 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.Jobtitel:
Quantitative analyst (f/m) - DerivativesJobnummer:
34803Stellentyp:
freiberuflichEinsatzort:
D6, FrankfurtStarttermin:
01.08.2015Dauer:
6 months +Anforderungen:
+ 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
+ Experience in technical architecture of risk systems will be an advantage
+ Highly motivated and engaging nature, positively assertiveZusätzliche Informationen:
If you are interested in this position, we are looking forward to receiving your current CV along with your daily rate and availability.SOLCOM gehört zu den führenden Dienstleistern bei der Besetzung von Projekten mit IT-Spezialisten und Ingenieuren.
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