Beschreibung
Our client 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 2-3 people to support the 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
• 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 Bei Interesse würden wir uns auf die Zusendung Ihres aktuellen Profils sehr freuen