Quantitative Analyst - Risk Methodology OTC (f/m/d) Quantitative Analyst - Risk Methodology OTC  …

Deutsche Börse AG
in Frankfurt am Main, Hessen, Germany
Permanent, Full time
Last application, 17 Jan 20
Deutsche Börse AG
in Frankfurt am Main, Hessen, Germany
Permanent, Full time
Last application, 17 Jan 20
Deutsche Börse Group is one of the largest exchange organisations worldwide. It organises markets characterised by integrity, transparency and safety for investors who invest capital and for companies that raise capital – markets on which professional traders buy and sell financial instruments according to clear rules and under strict supervision. With its services and systems, Deutsche Börse Group ensures the functioning of these markets and a level playing field for all participants – worldwide.

However, Deutsche Börse Group's products and services are by no means limited to trading “as such”: its business areas cover the entire value chain in the financial services sector, ranging from pre-IPO services and the admission of securities, through trading, clearing and settlement to custody services and other financial instruments, along with collateral and liquidity management. Additionally, the Group provides IT services, indices and market data worldwide.

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 state of the art risk methodology PRISMA for cleared OTC interest rate and OTC FX products and services. 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 OTC products and services. 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.


  • Early identification and consolidation of risk management related market trends, customer and market behaviour for cleared OTC derivatives (OTC interest rate swaps, Inflation Swaps, FX swaps, cross-currency swaps)
  • Extend and support the implementation and maintenance of valuation and risk models, risk concepts, and quantitative approaches underlying Eurex Clearing's margin methodology PRISMA
  • Design, analyse, and advise on risk methodology extensions to facilitate service and product extensions. 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
  • Adopt thought leadership on clearing house related risk topics in internal projects as a risk stream lead or industry working group participant for Eurex Clearing AG
  • 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 (OTC interest rate swaps, cross-currency swaps, vanilla FX derivatives)
  • In depths know-how of products and market nuances in the field of OTC interest rate derivatives (e.g. following ISDA definitions or other sources of market best-practice)
  • 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
  • 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
  • Experience in the Calypso Risk Management software or similar applications (for curve building, valuation, and risk management) will be an asset
  • Basic experience in Python or a similar programming language will be an asset
  • 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.