Risk Measurement Specialist

Requirements:

• Master's degree or equivalent qualification in Finance, Economics, Business
• Mathematics, Business Administration or related subject
• Relevant practical experience in the fields of measurement of market risk and the validation of risk figures for multi-asset investment funds or other kind of multi-asset portfolios
• Excellent knowledge and understanding in the field of Financial Engineering and Financial Product Structuring Seite 2 von 2
• Intermediate to advanced level in two or more programming languages like VBA, SQL, R, Matlab, Python or similar
• Good knowledge of the German and the European investment law
• Results orientation, self-reliant working, outstanding quality and reliability, unsolicited communication, customer service focus
• Fluent in spoken and written English, good to very good German language skills

We offer:

Responsibilities:

• Performs processes and procedures in the qualified approach of market risk measurement according to the regulation for investment funds (value at risk, backtest, stress test, simulation analysis)
• Cooperates across borders with other companies and branches of the Group
• in German and English language
• Performs project tasks within the scope of the department's annual target agreement
• Supports strategically important initiatives from a business unit and a branch perspective
• Carries out special tasks of the Risk Measurement department as follows:
• Performs decomposition, modelling and integration of derivative securitiess and structured instruments into the daily process of market risk measurement
• Performs pre-trade eligibility checks of new assets with respect to the valid legal and technical requirements for risk management of investment funds
• Conducts validation and optimization of the implemented pricing and risk models
• Contributes to the development of the risk management system (RiskManagerTM) and the associated system interfaces, e.g. e.g. by using programming languages such as VBA, SQL, R or similar
• Conducts assessments of the necessity and the applicability of the qualified approach for market risk measurement in the case of launching new investment funds or the conversion of existing portfolios (concept check)
• Answers ad-hoc inquiries and conducts calculations and analysis related to client reporting requests