Quantitative Model Risk Manager - Models and Analytics fmd
Quantitative Model Risk Manager - Models and Analytics fmd
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Job Description
This position is initially limited for 2 years.
Field of activity
As a Quantitative Model Risk Manager you are responsible for the strategic Model Risk development of Eurex Clearing AG. Your main tasks are focused on the responsibilities of a model owner to identify quantify and manage model risks of our risk model PRISMA across all asset classes. You are responsible to ensure that our framework and guidelines to develop pricing and risk models reflect market bestpractices and are compliant with all applicable internal and external regulatory standards. Moreover you take responsibility for building up and extending the quantitative analysis tool kit to assess model risks and model development principles. As part of a larger risk team as a project lead or as an industry working group participant you help to make informed decisions and contribute to finding solutions for Eurex Clearing AG.
Tasks/responsibilities
- Develop and strengthen our model development and model risk management area
- Early identification and consolidation of pricing and risk model related trends for cleared derivatives (Exchange Traded and OTC derivatives)
- Design and maintain quantitative assessments of valuation and risk models model documentation and calibration approaches
- Support the design of risk methodology extensions compliant with our model development principles. This includes enhancing and using our pricing and risk model prototype benchmark models and related calibration tools and methods
- Communicate model risk matters to internal as well as external stakeholders and regulatory bodies
- Contribute thought leadership on model 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 audit or handling of financial instruments with a quantitative focus
- Knowhow of products in the derivatives space
- Excellent analytical and problem solving skills
- Excellent communication skills
- Basic project management experience or experience to organize and manage complex tasks
- Basic experience in Python or a similar programming language will be an asset
- Proficiency in written and spoken English; additional German language skills will be an asset
Required Experience:
Manager
Employment Type
Full Time
