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Quantitative Analyst - Risk Methodology Bonds & Repo (f/m/d)

Date: 26-Apr-2019

Location: Frankfurt am Main, HE, DE

Company: Deutsche Börse Group

Group Company: Eurex Clearing AG

Quantitative Analyst - Risk Methodology Bonds & Repo (f/m/d) 

Full-time | Permanent

 

Field of activity

As a Quantitative Analyst in Risk Methodology and New Products, you are responsible for the strategic Risk Methodology development of Eurex Clearing AG. Your main tasks are focused around our risk methodology for repo and securities lending transactions. As a quantitative analyst you are responsible to ensure that our pricing and risk methodology reflects current market best-practices and are compliant with all applicable regulatory standards. Moreover, you contribute to and take responsibility for extending the current pricing and risk models to new cleared bonds and extension of clearing services for securities financing transactions. Comprehensive and quantitative analyses complement your independent solution finding and are an important part of your conceptual risk model design. 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. As a professional and experienced risk manager you communicate Eurex Clearing’s risk methodology in a comprehensible manner to all internal as well as external stakeholders from clients and regulators to IT departments and senior management.

 

Tasks/responsibilities

  • Early identification and consolidation of risk management related market trends in bonds, repo and securities lending space
  • Extend and support the implementation and maintenance of valuation and risk models, risk concepts, and quantitative approaches underlying Eurex Clearing’s margin methodology
  • Design, analyse, and advise on risk methodology extensions to facilitate service and product introductions. This includes developing or advising on extensions to our risk model prototype and related calibration tools for our models
  • Independent analysis and conceptual design of pricing and risk methodology in consultation  with clearing participants and other stakeholders
  • Communicate risk matters to our Sales, Business Development, and IT departments as well as regulatory bodies
  • Participate in strategic projects of Deutsche Börse Group

 

Qualifications/required skills

  • M.Sc. or PhD in a quantitative discipline (Econometrics, Mathematics, Physics, Financial Engineering, Computer Science or any other comparable field)
  • Several years of hands-on experience in modelling, risk management, or handling of financial instruments with a quantitative focus (bonds, repo, securities lending).
  • In depths know-how of products and market nuances in the field of securities financing transactions
  • Excellent analytical and problem solving as well as proven leadership skills
  • Excellent communication skills and the ability to analyse trade-offs to recommend solutions to the senior management of Eurex Clearing AG
  • Experience in Python or a similar programming language
  • High commitment and motivation to take on responsibility on individual tasks, in projects, or industry working groups
  • Basic project management experience or experience to organise and manage complex tasks
  • Proficiency in written and spoken English; additional German language skills will 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
www.deutsche-boerse.com

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