Senior Quantitative Manager
Overview:
A global commodities firm is seeking a senior Quant manager who will be responsible for researching commodity markets and developing quantitative methodologies. This is a temporary position with the potential to go permanent.
Job Duties:
1) Research market price formation in commodity markets. Leverage editorial market knowledge and experience and extensive database and history of commodity market prices.
2) Develop new quantitative methodologies to facilitate the production of new forward curves (and volatilities and correlations) to be used as risk measurement and valuation inputs by customers.
3) Implement approved quantitative methodology for Petrochemicals – M2M Benzene forward curves and produce M2M Benzene forward curves.
4) Perform research and development for additional Petrochemicals forward curves, as agreed with General Manager and implement these curves, according to agreed timeframe.
5) Perform research and development for M2M Oil forward curves – for locations and tenors outside the scope of PFC-Oil forward curves. Implement agreed quantitative methodologies to produce M2M Oil forward curves.
6) Perform research, back-testing and other appropriate analysis to monitor the assumptions underlying the quantitative methodology used to produce the Follow-the-Sun oil forward curves (FtS).
7) Work with Oil Editorial, Editorial Operations and other colleagues to ensure the quality of PFC-Oil and FtS produced. Take the lead for CRS activities in maintenance of PFC-Oil and FtS.
8) Perform research and development for additional M2M commodity forward curves as required. Implement these additional M2M curves, according to approved quantitative methodologies.
9) Apply quantitative analytical skills in the delivery of comprehensive studies, required to develop, test and enhance forward curve methodologies. Prepare comprehensive methodology documentation in accordance with documentation standards.
10) Documentation should identify the critical areas to test to maintain the validity of the model’s results.
11) Remain current on latest research in Statistics, Time Series, Applied Mathematics and Financial Engineering as it pertains to forward price and volatility modeling in energy and other commodity markets.
12) Perform all quantitative modeling activities in accordance with model governance guidelines.
13) Maintain records of back-testing and other model testing and reviews. Record results and conclusions of the reviews. Report results to leadership and perform follow-up activities as agreed.
14) Periodic European and inter-continental travel, including North America and S.East Asia
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