Quantitative Analyst (f/m) - Derivatives

We are currently looking for a quantitative analyst (f/m) for derivative products for an interesting project in the financial industry.

Your tasks include:
+ Design and support the implementation of valuation models, risk concepts and quantitative approaches to margining and collateralisation of Clearing House exposures
+ Developing tools to hedge derivatives, determine hedging costs and efficiency, monitor P/L and backtesting of results
+ Autonomous analysis, design and specification of risk functionalities and consultation on the risk management of hedging concepts with clearing participants
+ Testing and benchmarking of models in a Matlab prototype.

+ 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 analysis)
+ Several years of experience in the field of quantitative risk management for financial and non-financial instruments or comparable research activity
+ Quantitative, analytical and problem solving skills and the ability to work flexibly in a team environment
+ Profound knowledge in risk modelling of OTC interest rate swaps and listed interest rate futures and options for at least three years.
+ Quantitative, analytical ability and problem solving skills, in particular product/instrument simulation, risk modelling, model validation and backtesting
+ Experience and profound knowledge in the Calypso Risk Management software package for market data handling, valuation and risk calculations
+ Excellent communication and negotiation skills, a proficient manner as well as project experience
+ Proficiency in written and spoken English; additional knowledge of German will be an asset
+ Excellent command of MS office
+ Several years of experience in programming Matlab
+ Experience in technical architecture of risk systems will be an advantage
+ Highly motivated and engaging nature, positively assertive

If you are interested in this position, we are looking forward to receiving your current CV along with your daily rate and availability.