Beschreibung
Für ein Projekt bei unserem Kunden suchen wir eine/nQuantitative Analyst for Risk Methodology & New Products Team - Listed/OTC Derivatives Clearing Services (f/m)
Begin: August 2015, to be valid for 6 month with option to extend, Full-time
Location: Frankfurt am Main
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 the 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
Bei Interesse freuen wir uns über die Zusendung Ihres Beraterprofils (auf Englisch!) nebst Angabe zum Stundensatz und Ihrer Verfügbarkeit an
Bitte beachten Sie, dass wir in diesem Fall nur mit Freiberuflern zusammenarbeiten können.
Jennifer
Recruitment
Vega Deutschland GmbH
Industriestraße 161
50999 Köln
E-Mail:
www.vega-deutschland.de