Senior Quantitative Risk Analyst

3 weeks ago

London, United Kingdom RICHARD JAMES RECRUITMENT SPECIALISTS LTD Full time

As part of a hugely successful and growing Energy Trading business you will be focused on identification and quantification of real optionality risk inherent in physical and financial energy markets, including validation of front office pricing and valuationmodels and development of quantitative risk methodologies:

- Validate front office pricing and valuation models used to calculate end of day MtM and Greeks covering a wide range of products: PPA, virtual power plants, spread options, weather derivatives, hydro storages, pump storages, swing contracts and gas storagesusing a wide range of mathematical models (e.g. least-square Monte Carlo, stochastic dynamic programming)
- Validate non observable market parameters calibration with statistical analysis using Python
- Validate and monitor exotic deals booking approximations
- Develop our internal Model Validation library to independently validate models and fully understand their strengths and weaknesses
- Provide quantitative support to the risk teams on risk methodologies
- Provide ad hoc analysis as directed by Head of Quantitative Risk Methods & Model Validation, in particular assessing modelling of new business
- Provide quantitative analytical support to global businesses

Experience required
- At least 3 years experience in a quantitative / risk management role for an energy trading company or investment bank
- MSc or PhD in financial mathematics, mathematics or physics
- Expertise in options pricing theory and financial mathematics
- Strong experience in model development, programming and maintenance of model libraries
- Knowledge of energy commodities and derivatives products

Technical requirements
- Strong programming skills in Matlab, Python or equivalent
- Proficient with Microsoft Office products

Person specification
- Excellent analytical skills
- Strong communication skills
- Ability to manage multiple work streams in an environment of often conflicting pressures
- Strong focus on accuracy of information
- Experience of working in a fast paced environment is essential
- Proactive, with intellectual curiosity to identify and explain anomalies

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