Beschreibung
Quantitative Analyst - Risk Methodology
Key Skills:
M.Sc. or Ph.D. in a quantitative discipline (Physics, (Financial) Mathematics, Computer Science, Econometrics or any other comparable degree with quantitative focus)
Minimum 5 years of industry experience in the field of quantitative risk management/valuation of financial instruments, in particular, bonds and equities, Fixed Income futures and options, equity index and single stock futures and options
Profound knowledge of bond pricing issues, market and master data
Deep knowledge of bond trading conventions, capital and regulatory requirements
Experience in programming Matlab, C++ or equivalent in an Object Oriented manner as well as SQL proficiency
Experience with QuantLib is an advantage
Quantitative, analytical and problem solving skills and the ability to work flexibly in a team environment
Excellent communication and negotiation skills, a proficient manner as well as project experience
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 German language skills will be an asset
About the role:
Concept, design, and prototyping of valuation and risk methodology for various bond types (fixed, step-up, float, inflation-linked), equities, and securities financing transactions
Finding solutions for master and market data issues, especially as they pertain to bonds, but also for equities and securities financing transactions
Feasibility studies for ISIN-level and portfolio margining of bonds and equities, and cross margining vs. listed derivatives
Alignment of the margining solution with the default management process of the clearinghouse
Alignment of the margining solution across all cash market service offerings (securities lending, bond and repo trading, pledging of collateral)
Alignment of the margining solution with the IT system landscape of the clearinghouse
Communication of concepts to internal and external stakeholders
Communication of concepts to IT, and support of IT specifications