Beschreibung
Quantitive Analyst/Risk Methodology Swaps (f/m) financial area Frankfurt
We are looking for one of our clients, a financial institution located in Frankfurt, for external support with the following skills:
Task and responsibilities
Development & design of a risk concept for Total Return Swaps (TRS) in order to reflect margin requirements of the Clearing House appropriately (including cross margining with Futures)
Autonomous conducting of quantitative analyses related to TRS
Implementation & Validation (Backtesting) of a TRS prototype in Matlab
Support the implementation process by benchmarking the prototype with the productive solution
Communication to clearing participants
Mandatory skills and experience
Development & design of a risk concept for Total Return Swaps (TRS) in order to reflect margin requirements of the Clearing House appropriately (including cross margining with Futures)
Autonomous conducting of quantitative analyses related to TRS
Implementation & Validation (Backtesting) of a TRS prototype in Matlab
Support the implementation process by benchmarking the prototype with the productive solution
Communication to clearing participants
Experience:
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 Interest Rate Swaps, Equities and Fixed Income derivatives (listed futures), 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
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
Additional information
Submission deadline: 18.08.2014
Start date of assignment: 20.08.2014
Full-time starting in September 2014, to be valid for 4 months with option to extend
Location: Frankfurt am Main/Eschborn