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Quantitative Risk Models Lead

SIX Group AG
Madrid, Madrid provincia

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Detalles del empleo

Cualificaciones

Español
MATLAB
Microsoft Excel
Doctorado
Inglés
Máster
SQL
Scrum
Python

Descripción completa del empleo

BME - Bolsas y Mercados Españoles - drives the transformation of financial markets and belongs to SIX, the third largest exchange group in Europe.

What sets us apart drives us ahead: between local roots and global relevance, we are a unique blend of tradition and future, of foundation and growth. We value bright minds and inspire them to grow with their ideas. Come and shape the future of finance with us.

Quantitative Risk Models Lead

Madrid | working from home up to 40% | Reference 7736

As Lead of the Derivatives risk models within the unit of Quantitative Risk Management at SIX, you will be a key member of our Financial Risk Management team, reporting directly to the Head of Quantitative Risk Management of SIX. Your primary responsibility is to oversee the Derivatives risk models functions, develop, calibrate, implement, document and review quantitative risk methodologies of SIX Clearing, enhancing the existing quantitative risk methodologies framework in compliance with the Regulation, and according to SIX Group risk policies, procedures and best practices in terms of risk management.

What You Will Do

Leading and managing the Spanish quantitative risk models of SIX Clearing, creating comprehensive quant risk methodologies, performing specific quant risk analysis, identifying potential risk and mitigation strategies
Ensuring that risks are appropriately quantified with legality and conformity to established regulations, as well as fostering a continued improvement in quantitative risk methodologies
Developing, calibrating, implementing and reviewing quantitative risk models, stress- and back-tests, scenario analysis to ensure SIX Clearing resilience to adverse market conditions
Ensuring that quantitative risks methodologies specifications, model behavior, and testing results are appropriately documented
Close collaboration with other Clearing teams, such as Financial Risk Management Clearing, SIX Clearing’s Operations (1st line of defense) amongst others
Participating in workshops and/or trainings organized either by the Group or by other Associations
Staying abreast of industry quantitative risk methodologies best practices and regulatory development

What You Bring

Minimum of five years’ experience in quantitative risk. Experience in a CCP will be considered positively
Strong quantitative background, having a MSc or PhD degree in a quantitative subject, preferably a degree in financial mathematics. CFA, FRM or CQF certifications is desirable
Solid experience with Databases programming skills (Python, SQL, Excel & VBS and Matlab)
Strong presentation as well as communication and persuasive skills, verbal and written, both in English and Spanish; being able to tailor information timely to the appropriate level of recipient
Ability to work independently to a high standard in set timeframes
Demonstrates strong problem solving skills, a high level of ownership and a proactivity mindset
Self-motivated, ability to build relationships internally and externally. Strong interpersonal skills and collaborative team player

If you have any questions, check out our FAQ page or call Sara Perez de la Cuesta at +34 91 709 56 80.

For this vacancy we only accept direct applications.

Diversity is important to us. Therefore, we are looking to receiving applications regardless of any personal background.

What We Offer

Flexible Work Models
We trust our employees and offer a work environment that is well-balanced, productive and fosters success.

Personal Development
You will benefit from a culture of continuous learning and feedback. Your personal growth is supported through an extensive learning offering.

Agile Working Methods
Whether through scrum or design thinking,
we solve exciting tasks together in teams.

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