Risk Analyst - Stress Testing (Market Risk) (f/m/d)

Your area of work

Eurex Clearing's risk management department is responsible for the risk management framework related to the core clearinghouse business. The main task is to develop integrated risk management solutions covering all asset classes across listed and OTC, from derivatives over equities and bonds up to swaps. Constant monitoring and validation whether changes must be initiated ensures that the entire framework remains state of the art and sets industry standards. Our risk management framework is based on five main pillars: admission criteria, margin and stress testing methodology, exposure monitoring, collateral valuation practices, and default management process.

To further offer attractive risk management solutions to our clients, we are looking for a hands-on experienced risk manager in the field of stress testing and/or market risk to drive the stress testing methodology and processes of our clearinghouse forward. The role fosters a holistic understanding of the topic with tasks spanning over model monitoring, model development, and internal as well as external stakeholder management.

Your responsibilities

• Develop and maintain our comprehensive and holistic framework to stress test the market risk component of diversified portfolios containing a large variety of different financial products.
• Continuous improvement & enhancement of underlying models and methodologies, especially considering dynamic market movements or regulatory requirements.
• Propose changes to existing stress testing models or calibration of scenario shifts for new risk factors due to the introduction of new products or special contracts in the clearing world.
• Support or drive model change process including impact assessment of proposed changes.
• Work on an integrated framework design, support IT implementation by designing required functionalities from a model owner's perspective and support the related business acceptance tests.
• Participation in the regular EU-wide stress testing exercises conducted by ESMA with the responsibility for the credit risk part.
• Support of external, internal and member audits on topics related to Eurex Clearing's stress testing programmes.
• Communicate Stress Testing matters to internal as well as external stakeholders and regulatory bodies.
• Design and perform robust data quality checks and controls so that potential data quality issues can be identified and remediated.

Your profile

• M.Sc. in a quantitative or economical discipline (Econometrics, Mathematics, Physics, Financial Engineering, or any other comparable field with risk management focus).
• 2-3 years of hands-on experience in risk management, with a focus on risk models, risk analytics and tools in the area of stress testing.
• Excellent analytical and problem-solving skills.
• Excellent communication skills.
• High commitment, motivation, and willingness to take on responsibility.
• Basic project management experience or experience to organize and manage complex tasks including presenting to the senior management, clients, industry participants and regulators.
• Basic experience in Python or a similar programming language will be an asset.
• Knowledge of relevant regulations and external standards is a plus.
• Proficiency in written and spoken English; additional German language skills will be an asset.