Quantitative Risk Methodology Analyst recruitment
As Quantitative Risk Methodology Analyst you are responsible for the strategic Risk Methodology development for the clearing business. 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, risk exposure and collateral valuation practices. In essence, Risk Design steers the level and frequency of Clearing margin requirements, constructs the lines of defence and initiates
changes whenever necessary.
Risk Design acts as relationship manager vis-à-vis the risk managers of major clearing firms to continuously improve risk management processes and organize and conduct the Clearing Risk Committee.
Responsibilities
- Early identification and consolidation of relevant risk management related market trends, customer and market behavior
- Design and support the implementation of various valuation models, risk concepts, and quantitative approaches to statistical margin methodologies 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 tools to monitor P/L, Value-at-Risk, stress testing, and portfolio analytics
- Autonomous analysis, design and specification of risk functionalities and consultation on the risk management of new products with Clearing participants
- Quantitative, statistical verification, analysis and development of existing and new risk models, especially for Equity, Fixed Income, Credit and Commodity Derivatives
- Representation of Clearing business towards trading platforms, customers, regulators and internal counterparties in a quantitative role
- Participate in strategic projects for the business
Requirements
- M.Sc. (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)
- Several years of experience in the field of quantitative risk management for financial and non financial instruments or comparable research activity
- Profound knowledge in risk modelling for OTC derivatives, for at least three years
- Experience in default management process would be highly desirable - hedging techniques, auctions theory, incentive management, process management etc.
- Quantitative, analytical and problem solving skills and the ability to work flexibly in a team environment
- Knowledge in risk modelling for listed futures, listed options and cash products will be an advantage
- Excellent communication and negotiation skills, a proficient manner as well as project experience
- Quantitative, analytical ability and problem solving skills, in particular product/instrument simulation, risk modelling and model validation
- Experience in programming Matlab, R, SQL, or VBA would be an asset