Beschreibung
Quantitative Analyst for Risk Methodology/Calypso/OTC/Matlab/German
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 back testing 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
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