Beschreibung
On behalf of one of our clients, an international financial institution, located in Frankfurt, we are searching for external support with skills and abilities as stated below:
Quantitative Analyst (f/m) for Risk Methodology/OTC financial area Frankfurt
Field of Activity
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
Qualifications/Skill Profiles
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 assertive
Assignment
Full-time starting in August 2015, to be valid for 6 month with option to extend
Location: Frankfurt am Main/Eschborn
If this project is of interest for you, please do not hesitate to contact us.
Best regards,
Fox Department