Mid-Level, Senior Associate/ Manager- Quantitative Risk – Commodities, Energy – Leading Financial Services Firm
JOB DESCRIPTION
Top financial services firm is seeking an expert quantitative analyst for a junior-mid level role in their Energy quant business. This quant risk group has been steadily growing throughout the year and going into a strong finish for the last quarter. Headquartered in New York City, the energy quant risk team is planning on focusing their energies on cutting-edge margining models, thus need your quantitative, analytical, and technical skill sets to research and develop these models.
You will be responsible for contribution to the development efforts for new risk and pricing models, including models related to margining, pricing, VaR, liquidity, regulatory capital, stress testing, etc. You will be developing analytical tools and back-testing strategies while interacting with the tech department to lead efforts of testing and implementing risk models. You must also keep abreast of risk management policies and other regulatory requirements.
Chicago OR New York, USA
Responsibilities:
- Designing new models across energy products (power, gas, electricity, etc) leading the improvement of existing risk models
- Leading efforts in testing and improving models (VaR, expected shortfall, option pricing, extreme value theory/ EVT models, etc)
- Ensuring that models are up-to-date and compliant with regulations
- Prototyping and implementing models in Matlab/Excel and C++/C#
- Communicating with senior management and risk committees
- Eventually managing and mentoring junior quantitative staff to develop skills
.
Requirements:
- Minimum MS/PhD in a quantitative discipline (i.e. Mathematics, Statistics, Computer Science), PhD preferred
- Min 4+ years of relevant experience in pricing complex and exotic derivatives, modeling market risk metrics, and performing statistical analysis
- Min 4+ years of relevant experience in developing risk models for commodities/futures
- Preferred: experience within energy and energy derivatives (gas, electricity, etc)
- Preferred: desk quant experience (more focus on pricing complex derivatives)
- Highly preferred: strong knowledge and experience in rates, credit, FX asset classes and PDE, stochastic calculus, and probability theory
- Computer skills: C++, C#, Matlab, VBA, SQL
- Excellent communication skills (written, verbal, presentation)
Keywords: risk analyst, quantitative risk, risk analysis, commodities, energy, gas, electricity, futures, derivatives, risk modeling, pricing models, stress testing, back-testing, interest rates, credit, FX, risk management, quantitative risk management, risk quant, VaR, value at risk, C++, C#, Matlab, Excel, VBA, SQL, Chicago, New York, USA
APPLY | risk.americas@gqrgm.com
VISIT US | www.gqrgm.com
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. Please ask for Kasey Churchill in our LA office (310 807 5025). Utmost confidentiality and discretion is assured.
LOS ANGELES | 1.310.807.5030
10877 Wilshire Boulevard, Los Angeles, CA 90024 | Office Hours: 6.00-21.00 PDT
NEW YORK | 1.212.763.8333
1325 Sixth Avenue, New York, NY 10173 | Office Hours: 9.00-21.00 EDT
LONDON | 0203.141.8000
Westminster Tower | Office Hours: 8.00-20.00 GMT
HONG KONG | 852.3678.6738
2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT
GQR Global Markets
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