Quantitative Modeling Expert

1 month ago


London, Greater London, United Kingdom Cititec Talent Full time

Risk Management and Pricing Expert

Cititec Talent is seeking an experienced Commodities Trading Risk Professional to join our team in New York City, Houston, or London. The ideal candidate will have a strong background in building and enhancing Value-at-Risk (VaR) engines or pricing engines.

Key Responsibilities:

  • Develop and maintain quantitative models for commodities derivatives, with a focus on VaR engines and risk management systems.
  • Design and implement new VaR models using historical and factor-based approaches.
  • Contribute to the firm's risk management capabilities by calculating and aggregating raw risk metrics from different trading systems.
  • Collaborate on projects related to counterparty risk, including PFE/XVA and initial margin calculations.
  • Enhance and extend existing risk reporting tools, including risk analysis and P&L attribution.

Requirements:

  • Advanced degree in a quantitative field, such as Mathematics, Statistics, Financial Engineering, or a related discipline.
  • At least 5+ years of experience as a commodities quant or strategist, gained in a Hedge Fund, Oil Major, Commodities Trading House, or a Bank.
  • Proven track record in market risk, developing and implementing VaR models, with deep knowledge of the modelling approaches and their strengths/weaknesses.
  • Expert knowledge of risk and understanding of complex mathematical concepts related to Monte Carlo, options pricing, and time series analysis.


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