Senior Quant Risk Analyst
Duties Responsibilities
- Validating the models developed in the Front Office or elsewhere within the firm that have a risk or financial reporting impact - Storage, interconnectors, option pricers and complex deals models are written in various languages like C#, Python and VBA. - Developing generic and bespoke risk management models across multiple markets and locations. Currently a Monte Carlo frame work is being developed for VaR and EaR on linear and non linear products (FX, Gas, Oil, Power and Carbon options). - Enhancing existing risk models and their calibration to accommodate the expansion of GMT into new markets in Europe, Asia and US.
Skills Competencies
- Excellent knowledge of commodity risk modelling with experience of pricing energy commodity and FX options would be advantageous - Proficient programming skills in at least two of the following: VBA , C# or C++ and some knowledge of Python or Matlab - Very strong analytical and numerical skills - Ability to communicate the principles and results of analysis to all parts of the business. - Able to cope with rapid business growth and pressurised environment - Able to work as part of a team as well as individually
Experience
- Prior risk modelling experience 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, carbon, foreign exchange, oil, coal, and freight is highly desirable. However, we will consider candidates who have trading risk experience from non-commodity backgrounds (e.g. bonds, equities)
A leading financial services organisation
65K-75K base
Where specific UK qualifications are required we will take into account overseas equivalents.
Please quote Michael Page reference when applying Job ref:MPGX13254271
Michael Page International is a world leading recruitment consultancy.
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