Beschreibung
Field of Activity
Support in development & design of state of the art risk concepts for Interest Rate Swaps (IRS), Cross Currency Swaps (XCCY) and Foreign Exchange (FX) products in order to reflect margin requirements of the Clearing House appropriately
Autonomous conducting of quantitative analyses related to IRS, XCCY and FX
Support the internal risk lead with ad-hoc analyses and general consultation
Consulting Eurex Clearing by its communications to clearing participants & regulators
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
Experience and knowledge in the Calypso Risk Management software package for market data handling, valuation and risk calculations will be an asset
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 IRS, XCCY and FX products, for at least three years
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 (eg Matlab, Python, 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 July 2016, to be valid for 3 months with option to extend
Location: Frankfurt am Main/Eschborn
If that project is of interest for you, please do not hesitate to contact us.
Kind regards,
Fox Department VTS Consulting GmbH
Fox Department