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/IRS/Calypso
Field of Activity:
Development & design of a state of the art risk concept for 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
Support the internal risk lead with ad-hoc analyses and general consultation
Consultation of our client 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 and the ability to work flexibly in a team environment
Profound knowledge in risk modelling for OTC Derivatives as Interest Rate Swaps and Cross Currency Swaps, for at least three years
Experience and knowledge in the Calypso Risk Management software package for market data handling, valuation and risk calculations will be an asset
Excellent communication and negotiation skills, a proficient manner as well as project experience
Quantitative, analytical ability and problem solving skills, in particular 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
Experience in programming (Matlab, R, VBA, SQL, ) will be an asset
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 months with option to extend
Location: Frankfurt am Main/Eschborn
Please let us know if this project is of interest for you and if you are available. We are looking forward to your reply.
Best regards,
Fox DepartmentVTS Consulting GmbH
Fox Department
(see below)