Quantitative Trading Specialist

1 month ago


London, Greater London, United Kingdom Cititec Talent Full time
Key Responsibilities:

As a Quantitative Trading Specialist at Cititec Talent, you will be responsible for building, enhancing, testing, and maintaining quantitative models specialized for the needs of trading and risk managers. This includes derivatives pricing and volatility marking. You will contribute to the firm's effort to calculate and aggregate raw risk metrics (greeks) from different trading systems to enhance the firm's overall risk management capabilities.

Additional emphasis will be placed on counterparty risk with projects on PFE/XVA and initial margin calculations. You will also improve 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 or quantitative risk officer, 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 the application of complex mathematical concepts related to Monte Carlo, options pricing and time series analysis.

Experience in counterparty risk and PFE/XVA frameworks using commodities factor-based approaches and correlation analytics will be considered a strong plus. Advanced programming skills, ideally in Python.

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