Quantitative Analyst Developer - Risk Methodology OTC fmd
Quantitative Analyst Developer - Risk Methodology OTC fmd
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Job Description
This position is initially limited to 2 years.
Field of activity
As a Quantitative Analyst/ Developer for OTC derivatives you are responsible for the strategic valuation and risk model development of Eurex Clearing AG. Your main tasks are focused on conceptual work and prototype implementation to identify quantify and manage risks imminent to our OTC clearing services. The main model you will be using and expanding is our risk model PRISMA for OTC rates inflation FX and NDF products. Comprehensive quantitative analyses complement your independent solution finding and are an important part of your conceptual design thinking. As part of a larger risk team as a project stream lead or as an industry working group participant you help to make informed decisions and contribute to finding solutions for Eurex Clearing AG and its clients.
Tasks/responsibilities
- Develop and strengthen our valuation and risk model development and model risk management function
- Early identification and consolidation of pricing and risk model related trends for cleared OTC derivatives
- Design and maintain modelling calibration and prototyping of valuation and risk models as well as respective model documentations
- Communicate valuation and risk model related matters to internal as well as external stakeholders and regulatory bodies
- Contribute thought leadership on model and risk topics in projects
Qualifications/required skills
- M.Sc. or PhD in a quantitative discipline (Econometrics Mathematics Physics Financial Engineering or any other comparable field)
- Several years of handson experience in risk management pricing/ risk model prototyping or handling of financial instruments with a quantitative focus
- Knowhow of products in the OTC derivative space
- Experience in Python orsimilar programming languages is required
- Excellent analytical and problem solving as well as communication skills
- Basic project management experience or experience to organize and manage complex tasks
- Proficiency in written and spoken English; additional German language skills will be an asset
Required Experience:
IC
Employment Type
Full Time
