Quantitative Risk Methodology Analyst (female/male)

Job description

We have a vacancy at Eurex Clearing AG in Frankfurt am Main

Limited for 2 years

Eurex is the world's largest futures and options exchange and is jointly operated by Deutsche Börse AG and SWX Swiss Exchange. The Exchange is the market place of choice for trading and clearing of derivatives. Eurex has been a pioneer in electronic trading of derivative products for more than a decade, and it offers its customers open, democratic, simple, and cost-effective access from any point around the globe. The trading participants are connected to the Eurex system via a communications network; at present, some 700 locations worldwide are connected to Eurex. Without them Deutsche Börse Group would not have developed into one of the most modern exchange organisations in the world. More than 5,300 employees work for the Group - a dynamic, motivated and international team.

As a Quantitative Risk Methodology Analyst in Risk Methodology and New Products, you are responsible for the strategic Risk Methodology development of Eurex Clearing AG. The main task is to develop state of the art risk concepts for all products and services and constantly monitor and validate whether changes must be implemented regarding the risk methodology and product valuation practices. Further, you translate these concepts into business requirements for the risk systems and communicate these to IT, internal and external stakeholders. You support the prioritisation of the requirements and the planning of associated tasks and resources.

Your responsibilities

Design and support the implementation of various valuation and risk models to appropriately collateralize Clearing House exposures

Development of new Services and Products in respect to risk management of a clearing house. This will include developing methodologies and tools to supervise and calibrate risk models, and monitor P/L and Value-at-Risk

Specification and prioritisation of risk system requirements

Collaborate with IT in building and enhancing the risk systems

Support the project planning activities (tasks, work estimates, timelines, and resources)

Representation of Eurex Clearing AG towards customers, regulators and internal counterparties in a quantitative role

Participate in strategic projects of Deutsche Börse Group

Our requirements

M.Sc. or PhD in a quantitative discipline (Econometrics, Mathematics, Physics, Financial Engineering, Computer Science or any other comparable degree with risk management focus including empirical, quantitative analysis and methods)

At least 3 years industrial experience in a quantitative analysis and modelling role

Knowledge of financial instruments (OTC derivatives, Eurex listed futures and options, and cash products)

Experience with MATLAB and its object-oriented features is an asset

Experience with SQL is an asset

Knowledge of object-oriented design principles and design patterns would be an advantage

Experience with trading and risk systems (such as Calypso, Murex, FrontArena, etc or any in-house equivalents) would be an advantage

Quantitative, analytical and problem solving skills

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

Excellent command of MS office, including Excel and VBA

Dedication, team and communication skills, flexibility as well as competent handling of MS Office applications round out your profile. There are numerous good reasons to work for us: responsibility at an early stage, attractive social benefits, an international working environment and a broad variety of career opportunities. Applications from disabled persons are welcome.

Desired profile

Our requirements

M.Sc. or PhD in a quantitative discipline (Econometrics, Mathematics, Physics, Financial Engineering, Computer Science or any other comparable degree with risk management focus including empirical, quantitative analysis and methods)

At least 3 years industrial experience in a quantitative analysis and modelling role

Knowledge of financial instruments (OTC derivatives, Eurex listed futures and options, and cash products)

Experience with MATLAB and its object-oriented features is an asset

Experience with SQL is an asset

Knowledge of object-oriented design principles and design patterns would be an advantage

Experience with trading and risk systems (such as Calypso, Murex, FrontArena, etc or any in-house equivalents) would be an advantage

Quantitative, analytical and problem solving skills

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

Excellent command of MS office, including Excel and VBA

Dedication, team and communication skills, flexibility as well as competent handling of MS Office applications round out your profile. There are numerous good reasons to work for us: responsibility at an early stage, attractive social benefits, an international working environment and a broad variety of career opportunities. Applications from disabled persons are welcome.