Quantitative Analyst (Energy Trading Desk)
A leading energy trading desk is currently searching for a quantitative strategist to add to their team. The Commodities business is a major part of the firms business and cover a range of products (base and precious metals, oil, gas, power, coal, agricultural commodities, freight and environmental products
Within this role you will be developing models to price and risk manage structured derivative transactions over energy assets. This is a trading desk role working with two traders, a structurer and a sales team covering the broad spectrum of energy assets including oil, gas, power, coal and emissions.
The group is a Cross Commodities Trading group and looks at opportunities between different energy asset classes with a focus on delivering risk management solutions to client’s.
You will be responsible for :
• Pricing new structures brought to the desk by the sales team, discussing risks and pricing methods with traders, designing new structures which meet the client's risk management requirements and also matching the cross asset options current portfolio
• Rationalising pricing and risk between the main risk system and spreadsheets for all new deals
• Expanding the current suite of models, particularly for power options - looking at alternative models with additional factors beyond 2 factors - including mean reversion, seasonality and jumps
• Building Bermudan option early exercise models for swing options
• Helping build PnL explain tools for traders with cross gamma, vanna, volgamma and volskew change rationalisations
• Correlation - building databases and tools for traders to quickly estimate correlations over various historical time frames and over various forward points. Looking at more sophisticated correlation tools such as co-integration for analysing movements between different commodities and also between forward points on the same commodity curve
• Looking at methods of smoothing forward curves for robust calibration of key parameters like volatility ratios, mean reversion rates and forward correlations
• Building tools for scaling of variances for different averaging processes and also short dated style expiries - calibrating volatility ratios from historical data and implied option prices (swaptions, calendar spread options).
• Testing - be responsible for testing the accuracy and robustness of deal implementations in the main system and develop independent spreadsheets to check the valuations and risks are as expected.
• Working with traders on all pricing, risk management, trade ideas and generally building out the business
• Setting up processes for reserving for correlation and vega risk - conducting meetings with market, credit and operational risk to discuss risks inherent in new deals, how they are quantified and modelled.
In order to apply for this position you should have strong quantitative skills, excellent communication skills and experience working within Energy.
Interviews are taking place currently. Please apply directly to apply.a33hoj241c@selbyjennings.aptrack.co.uk or visit our website at www.selbyjennings.com - All CV’s must be sent in word format.
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