Senior Quantitative Risk Analyst

  • Location: Frankfurt, Germany
  • Salary: Competitive
  • Organization: Trading company

Our client is well-established  trading house that currently looking to add Senior Quantitative Analyst to join their team in Frankfurt. 

Responsibilities:

  • Early identification and consolidation of relevant risk management related market trends, customer and market behavior for OTC FX derivatives (FX swaps and forwards)
  • Design and support the implementation and maintenance of valuation and risk models, risk concepts, and quantitative approaches underlying company’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 FX derivatives
  • Communicate risk system requirements to IT
  • Support the project planning activities (tasks, work estimates, timelines, and resources)
  • Representation of company towards trading platforms, customers, regulators.

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)
  • 5- 7 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 markets in the fields of OTC FX and Fixed Income derivatives (listed futures and options)
  • Experience and profound knowledge in the Calypso Risk Management software package for market data handling, valuation and risk calculations would be an advantage
  • 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
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