Developer/Analyst – Risk Management, Valuation and Market Data

Beschreibung

PROJECT ID
C3360

POSITION
Developer/Analyst – Risk Management, Valuation and Market Data

VERTRAGSART
Contracting

START
01.01.2015

LAUFZEIT
6 Monate ++

EINSATZORT
Frankfurt (gelegentliche Reisen nach Prag)

TÄTIGKEIT
Eurex Clearing has set a new industry standard by introducing a new "Portfolio Based Risk Management" methodology for listed and OTC products. As part of this initiative we are looking for people to support our Risk and Functional Design team with Functional specification of risk-(calibration) and hedging applications that support PRISMA,specifically in the writing of functional specifications that would be used as the basis for their development of by IT.
Develop functional specifications based on an existing concept and datamodel.
Liaising with business and financial mathematicians (quants) to understand functional/business/methodological requirements. You will heavily interact with developers and risk managers within Risk, Valuation and IT.
Translation of the functional requirements into a functional specification that can be used by IT for implementation of the application
Develop and execute test cases based on the functional specifications.
You will interact with Senior Management, communicating complex ideas and constraints in a clear and simple-to-understand manner
Resources/ skill profiles
Profound understanding of derivatives products and risk management practice preferably having FRM, CFA or similar certification
M.Sc. or PhD 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 OTC and listed derivatives
Good understanding of cross margining across OTC and listed business
Functional understanding of database models and interfaces
Knowledge of OTC products (IRS, OIS, TRS)
Test modelling and execution experience
Experience in programming Matlab, C++ or equivalent in an object oriented manner as well as SQL proficiency
Experience with QuantLib is an advantage
Strong analytical and problem solving skills and the ability to work flexibly in a team environment
Strong communication skills in order to act as an interface to other project teams and IT
Highly motivated and engaging nature, positively assertive

English and German language skills in both spoken and written

Assignment:
Fulltime
Duration : 01.01.2015 - 30.06.2015 ++

Location:
Frankfurt with regular travel to Prague

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