Senior Quant Risk Analyst

Found in: Talent UK C2 - 1 week ago

London, United Kingdom E1 EDF Trading Ltd Full time

Description

:

Department

Quantitative Risk

The Quant Risk team delivers quantitative analysis to the Risk Group, provides independent assessments of EDF Trading’s pricing models and design, develop and enhance EDF Trading’s Risk Metrics calculations ( VaR, PFE, CaR …). The department is organised into 2 teams, one team responsible for implementing EDF Trading’s model validation framework and one team in charge of EDF Trading risk metrics calculations.

Position purpose

You will be a member of the Risk Metrics team, responsible for developing EDF Trading risk metrics tools

Responsible for designing, developing and maintaining EDF Trading’s quantitative risk metrics calculations (VaR, PFE, CaR …) Work collaboratively with Market Risk, Credit Risk, Risk IT, the quant team and IT to deliver enhancements to EDF Trading Risk Metrics calculations and prepare EDF Trading’s risk metrics platform for the future Provide quantitative support to global risk teams, in particular to Risk Control on quantitative analysis requested to support their daily publication of VaR and Credit Risk to support their publication of PFE Stay abreast of latest development in quantitative modelling and proactively seek to apply best practice

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 or similar Proven track records of model development Strong experience in model development, programming and maintenance of model libraries Expertise in options pricing theory and financial mathematics Knowledge of energy commodities and derivatives products

Technical requirements

Experience in developing and maintaining production risk models (VaR, PFE…) Good understanding of energy commodities and energy derivatives instruments Strong programming skills in Matlab, Python or equivalent Proficient with Microsoft Office products

Person specification

Excellent analytical skills Strong attention to detail and focus on accuracy of information Ability to manage multiple work streams in a trading environment of diverse and often conflicting pressures Strong communication skills, with ability to articulate technical knowledge and complex concepts into clear concise analysis Experience of working in a fast paced environment is essential Proactive

Hours of work:

40 hours per week, Monday to Friday

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