Senior Quantitative Market Risk Analyst - Commodities Senior Quantitative Market Risk Analyst -  …

Connect Resourcing
in London, England, United Kingdom
Permanent, Full time
Last application, 20 Aug 19
£excellent with strong bonus and package
Connect Resourcing
in London, England, United Kingdom
Permanent, Full time
Last application, 20 Aug 19
£excellent with strong bonus and package
Global Energy & Commodity Trading business is seeking a high calibre candidate to join their Quantitative Market Risk team in their London office. This is a high profile role which requires strong modelling skills coupled with a strong commercial awareness and excellent communication skills. Knowledge of energy or commodity trading would be very useful but is not essential.

Global Energy & Commodity Trading business is seeking a high calibre candidate to join their Quantitative Market Risk team in their London office. This is a high profile role which requires strong modelling skills coupled with a strong commercial awareness and excellent communication skills. Knowledge of energy or commodity trading would be very useful but is not essential.
The key responsibilities are as follows

  • Develop quantitative risk methods and validate front office pricing and valuation models:
  • Develop and maintain risk metric quantification engines in close cooperation with Risk Control, Credit Risk and Treasury teams across the global business
  • Validate front office pricing and valuation models used to calculate end of day MtM and Greeks and covering a wide range of energy products including  weather derivatives, spread options, options on baskets of indices, barrier options, vanilla options, swaps on baskets of indices and linear products
  • Validate and monitor exotic deal booking approximations
  • Provide support to the Risk Control teams on risk quantification and mechanics: notional limits, vega limits, VaR backtesting and assumptions, 
  • Develop our internal Model Validation Matlab library to independently validate models and fully understand their strengths and weaknesses
  • Provide ad hoc analysis as directed by Market Risk Manager
  • Act as subject matter expert on quantitative risk methods in support of global business

To be considered for this role you will need to have the following:

  • MSc or PhD in Financial Mathematics, Mathematics or Physics or equivalent work experience
  • Strong Knowledge of option pricing theory and financial mathematic
  • Experience in a quantitative role for a commodity or  energy trading company or investment bank
  • Experience in models development, programming and maintenance of models libraries
  • Knowledge of energy commodities and derivatives products
  • Strong programming skills in Matlab or equivalent
  • Strong Excel and VBA

You will also need strong communication skills and the ability to articulate complex problems and solutions to all audiences. In addition you should enjoy working in a fast paced environment and be able to work to tight timescales. Excellent analytical skills with a strong focus on accuracy of information coupled with determination are also desirable skills. There are excellent career development prospects with this role in a market leading business.

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