Deadline:
As soon as possible
Companies
Location(s)
Germany
Frankfurt am Main
Overview
Numerix is a leading software vendor in Risk Management and Financial Derivatives Management space.
Details
We are combining the most advanced C++ quantitative library with the modern microservices architecture and latest web frameworks to deliver cutting-edge products and solutions to the financial industry. We are involved in some of the most exciting projects in the derivatives industry, including:
- Building valuation and risk infrastructures for financial instruments of arbitrary complexity.
- Providing full spectrum of solutions in the xVA space, ranging from Front-Office xVA capabilities (including advanced topics like MVA and xVA Greeks) to regulatory xVA calculations.
- Providing solutions to the quantitative challenges of the capital markets, including topics like FRTB, SIMM and SA-CCR.
- Servicing the Structured Notes market worldwide by providing tools to the issuers, risk recyclers and the buyside to address their needs.
Primary Responsibilities:
- Structure real-world examples of trades and perform valuation and/or risk analytics tasks using Numerix CrossAsset library and other Numerix Products and tools under guidance from senior members in the team.
- Work with senior members in the team on various key projects ranging from structuring, valuation, quantitative advisory services, counterparty risk, market risk, ESG, etc.
- Write Requirements Definition (RD) and Product Specifications for vanilla and exotic Derivative products across FI/CC/INF/CR/EQ/FX/CMDT/HYBRID.
- Work as liaison between Customers and Internal Numerix teams (Sales, Business Analyst, PDM, Quantitative Research, Quantitative Development, Implementation, Support, Training, Documentation…).
- Design and perform FE testing on models (calibration and pricing) across multiple asset classes on various Numerix Products.
- Provide consulting and professional services for clients using Numerix products for integrated/independent pricing and risk analytics system.
Opportunity is About
Eligibility
Candidates should be from:
Description of Ideal Candidate
Experience and Skills Required:
- Working towards a Master’s degree in Mathematics, Financial Engineering, Finance, Computer Science, Physics, Actuarial Science, or related field.
- Good knowledge and/or hands-on experiences in derivative pricing models and instruments across interest rate, cross-currency, credit, inflation, equity, foreign exchange, commodity, insurance, and hybrid products.
- Good knowledge and/or hands-on experiences in Counterparty Risk (CVA, DVA, FVA, PFE) and/or Market Risk (Value at Risk including parametric, historical, and Monte Carlo VaR) and/or Economic Scenario Generation (real world and risk neutral).
- Strong mathematical skills including stochastic calculus, numerical methods (Tree, PDE), Monte Carlo simulation, probability and statistics, linear algebra, time series analysis, or actuarial analysis; and financial modeling, or quantitative/engineering related research.
- Good hands-on experience with Excel and Python.
- Self-motivated and quick-learning professional able to address complex technical challenges and produce high quality solutions in an efficient and timely manner.
Work Experience
- It is expected that the candidate has good knowledge and/or hands-on experiences in derivative pricing models and instruments across interest rate, cross-currency, credit, inflation, equity, foreign exchange, commodity, insurance, and hybrid products.
Dates
Deadline: As soon as possible
Cost/funding for participants
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