Beschreibung
Quantitative Analyst, OTC Derivatives, Calypso, Risk Management, XCCY, IRS
Quantitative Analyst for Risk Methodology & New Products Team - OTC derivatives clearing services for the Interest Rate Swap (IRS) & Cross Currency Swap (XCCY) Risk Methodology Project Team 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 Eurex Clearing 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