Euronext Clearing - Quantitative Risk management …
at Euronext
Posted 18 hours ago
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- Compensation
- Not specified
- City
- Not specified
- Country
- Italy
Currency: Not specified
Design, implement and monitor risk models and tools to tackle CCP risks, focusing on market risk, liquidity risk, and CCP investment portfolio risk. Daily monitoring of EMIR tests (Back Test, Stress Test, Sensitivity Test, Reverse Stress Test) and markets, with daily support to Clearing Members. Prepare periodical reports to internal and external stakeholders and interact with Euronext business lines, Supervising Authorities, and interoperable CCPs. Requires a Master’s degree in quantitative finance/math/physics/statistics and 4-5 years in quantitative market risk management; proficient in English with Python/SQL programming.
Euronext Clearing, the Euronext's Central CounterParty based in Italy, is a multi-asset clearing house that provides proven risk management services on a number of European markets. Cleared asset classes include equities, ETPs, financial and commodity derivatives and bonds (cash and repo markets). The company offers a job opportunity as Quantitative Risk Manager (LOD 1).
The Quantitative Risk Manager (LOD 1) will be accountable for (some of/all) the following activities:
- Design, implementation, daily monitoring and potential enhancement of the risk models and tools aimed at tackling most of the risks the CCP faces:
- (mainly) Market risk of the Clearing Members’ portfolios, in turn mainly reflected by Margins and Default Fund contribution quotas
- Market risk of the collateral posted by Clearing Members
- Liquidity risk of the CCP
- Market risk of the CCP’s investment portfolio
- Daily monitoring and potential enhancement of the EMIR tests:
- Back Test
- Stress Test
- Sensitivity Test
- Reverse Stress Test
- Daily monitoring of the markets and the CCP
- Daily support to the Clearing Members
- Periodical reporting to internal/external stakeholders
- Interactions with Euronext business lines
- Interactions with Supervising Authorities
- Interactions with interoperable CCPs
Your Profile:
- Master’s Degree in Quantitative Finance, Mathematics/Physics/Statistics applied to Finance or equivalent
- Previous experience of 4-5 years in Quantitative market Risk Management within banks/financial contexts ( nice to have: CCPs)
- Good knowledge of financial markets and instruments
- Proficiency in English
- Programmer mindset (preference for Python and SQL programming languages, Git version control software, Jira task management software)
- Good knowledge of Microsoft Office suite
- Good analytical and problem solving skills
- Ability to work in team
- Good attitude towards working simultaneously on multiple tasks often with tight deadlines/under pressure in an accurate manner
- Proactive behaviour
Optional requirements:
- Good knowledge of French language
