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You are responsible to ensure that the 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.
Tasks / Responsibilities
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)
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
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
Excellent analytical and problem solving as well as proven leadership skills
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