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Quantitative Risk Analyst - Model Validation (f/m/d)

Date: 12-Jun-2019

Location: Frankfurt am Main, HE, DE

Company: Deutsche Börse Group

Group Company: Eurex Clearing AG

Quantitative Risk Analyst - Model Validation (f/m/d) 

Full-time | Permanent


Field of activity

The Model Validation team uses various validation instruments (such as backtesting) on a regular basis, performs non-standard ad hoc analysis of the model performance (e.g. after large market moves) and accompanies model changes. Most of the time the team is looking at the results gathered by the validation instruments, analyses them, documents the results and concludes findings for the methodology teams.

The communication and follow up process is facilitated by continuous discussion between Model Validation and the methodology teams. Both test and analysis results are regularly reported to management and the EMIR Risk Committee on a regular basis. The Model Validation team is responsible for that the management and the EMIR Risk Committee are informed appropriately. Besides the daily business, team members are involved in strategic projects of Deutsche Börse Group.



  • Regular validation of the existing risk models using the validation instruments (see also
  • Develop enhancements and adjust validation instruments and affected tools, for example to include a new product or accommodate new regulatory requirements and support the implementation process respectively
  • Development of monitoring tools for portfolio PnLs, VaR and Stress Tests as well as non-standard analysis of portfolio specifics
  • Challenge risk models in both qualitative and statistical terms, analyse existing and potentially new risk models covering all types of financial instruments
  • Representation of Eurex Clearing AG towards trading venues, clients, regulators and internal quantitatively working teams
  • Support strategic projects of Deutsche Börse Group


Qualifications/required skills

  • M.Sc. or equivalent (e.g. M.Sc. in Econometrics) 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)
  • Excellent analytical skills, natural curiosity with respect to understanding of market, valuation and risk models as well as high results orientation
  • Understanding of financial markets, in particular derivatives markets
  • Understanding of the usual financial instruments, in particular listed and OTC traded derivatives and cash products
  • Excellent Knowledge of MS Office, experience with SQL and/or VBA
  • Broad knowledge of the usual pricing and risk models for the above mentioned financial products
  • Proficiency in written and spoken English; additional German language skills will be an asset
  • Experience in the area of model validation, model maintenance and the model risk management governance would be an advantage
  • Several years of working experience in quantitative risk management would be an advantage
  • Experience with the area of Audit and Compliance would be an advantage
  • Experience with R and Python are a plus
  • Team player with excellent communication skills

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