Global Energy Trading business is now seeking a high calibre candidate to join their Quantitative Market Risk team in their London office. The team plays a key role within the Market Risk department working closely with the Front Office Quantitative team. It 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 products: virtual power plants, hydro storages, gas storages, pump storages, swing contracts, weather derivatives, spread options, options on baskets of indices, barrier options, vanilla options, swaps on baskets of indices, linear products, etc...
• 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, etc...
• 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 mathematics
• Experience in a quantitative role for an 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. This is an excellent role with very strong development prospects.