Quantitative Risk Analyst – Energy Trading firm – London recruitment
Due to this growth they are looking for a Quantitative Risk analyst to join their market leading risk function, the role will be responsible for building and validating quantitative models to value contracts and assess risk and will report into the head of risk.
The role:
- Developing, in co-ordination with the quantitative and Risk Management teams, quantitative risk management methodologies and metrics that meet the requirements of the trading business (VaR metrics, Earnings-at-Risk metrics).
- Validating the models developed in the Front Office or elsewhere that have a risk or financial reporting impact (Excel / VBA, plus potentially C# and /or Python)
- Developing generic and bespoke risk management models (valuation models, VaR models, including Monte-Carlo VaR, stress test models) across all markets and locations using Excel/VBA, and ideally also C# and/or Python. This is likely to span:
- Multiple commodities including LNG, gas and power
- Linear products and products with significant optionality
- Developing curve methodologies and validating curve methodologies (interpolation etc)
- Proactively identifying future quantitative risk modelling requirements to support planning by the Head of Market Risk
Skills Competencies
- Deep understanding of options pricing theory (i.e. quantitative models for pricing and hedging derivatives)
- Prior work experience building models for transaction valuation, financial exposure calculations and/or Value at Risk methodologies
- Energy Market Risk Experience for multiple physical and financial commodities including gas, power, LNG
- Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis
- Advanced user of Excel (pre-requisite), proficient coding skills in VBA (pre-requisite) and C# (preferred) or Python (preferred)
- Ability to use mathematical models to price energy products
- Ability to produce market risk exposure position report
- Very strong analytical and numerical skills
- Ability to communicate the principles and results of quantitative analysis to non-quants
If you think you have the required skills and experience and would like to develop your career in a hugely successful energy trading company then please send an up to date CV to j.clarke@bramwithconsulting.co.uk.
November 2, 2011
• Tags: Commodities careers in the UK, London recruitment, Quantitative Risk Analyst – Energy Trading firm • Posted in: Financial