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Quantitative Analyst - OTC Risk Methodology (f/m/d)

Date: 15-Feb-2019

Location: Frankfurt am Main, HE, DE

Company: Deutsche Börse Group

Group Company: Eurex Clearing AG

Quantitative Analyst - OTC Risk Methodology (f/m/d) 

Full-time | Permanent


Field of activity

In your new position as Quantitative Analyst - OTC Risk Methodology you are responsible for the strategic Risk Methodology development of Eurex Clearing AG. The main task is to develop and maintain our state of the art risk methodology for OTC products and services. You constantly monitor and validate whether changes to the risk methodology and product valuation approach must be implemented arising from market demand or compliance with regulatory standards. Further, you translate methodology 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 service extensions of Eurex Clearing AG.

Your responsibilities

  • Early identification and consolidation of relevant risk management related market trends, customer and market behaviour for OTC derivatives (OTC IRS, Inflation Swaps, FX forwards and swaps, FX Options)
  • Design and support the implementation and maintenance of valuation and risk models, risk concepts, and quantitative approaches underlying Eurex Clearing’s margin methodologies
  • Analyse and implement service and product extensions in respect to risk management of a clearing house. This will include developing tools to supervise and calibrate risk models, and monitor P/L and Value-at-Risk
  • Autonomous analysis, design and specification of risk functionalities and consultation on the risk management of new products with Clearing participants
  • Quantitative analysis and development of existing and new risk models specifically for OTC IRS and FX derivatives
  • Communicate risk system requirements to IT
  • Support the project planning activities (tasks, work estimates, timelines, and resources)
  • Representation of Eurex Clearing AG towards trading platforms, 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)
  • Several years of experience in the modelling and risk management of financial instruments (OTC derivatives, listed futures and options) or comparable research activity
  • Know-how of products and market nuances in the fields of OTC and exchange traded fixed income derivatives
  • Experience and profound knowledge in the Calypso Risk Management software package for market data handling, valuation and risk calculations will be an asset
  • Quantitative, analytical and problem solving skills
  • Front Office experience with respect to OTC derivatives will be an asset
  • Excellent communication and negotiation skills, ability to analyse trade-offs and recommend solutions
  • 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
  • Experience in at least one of the following: Matlab, R, SQL, or VBA, Programming experience in compiled languages (e.g. C#, C++, Java) would be an asset

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.

Are you interested in working with a pleasant and very dedicated team? Convince us with an appealing application. Please use our online application portal.

Deutsche Börse Group, Human Resources