Senior Quantitative Risk Analyst

Richard James Recruitment Specialists Ltd
London, United Kingdom
22 Jan 2023
21 Feb 2023
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
  • Validate front office pricing and valuation models used to calculate end of day MtM and Greeks covering a wide range of products: PPA, virtual power plants, spread options, weather derivatives, hydro storages, pump storages, swing contracts and gas storages using a wide range of mathematical models (e.g. least-square Monte Carlo, stochastic dynamic programming)
  • Validate non observable market parameters calibration with statistical analysis using Python
  • Validate and monitor exotic deals booking approximations
  • Develop our internal Model Validation library to independently validate models and fully understand their strengths and weaknesses
  • Provide quantitative support to the risk teams on risk methodologies
  • Provide ad hoc analysis as directed by Head of Quantitative Risk Methods & Model Validation, in particular assessing modelling of new business
  • Provide quantitative analytical support to global businesses
  • Stay abreast of latest development in quantitative modelling and proactively seek to apply best practice

Experience required

  • At least 2 years experience in a quantitative / risk management role for an energy trading company or investment bank
  • MSc or PhD in financial mathematics, mathematics or physics
  • Expertise in options pricing theory and financial mathematics
  • Strong experience in model development, programming and maintenance of model libraries
  • Knowledge of energy commodities and derivatives products

Technical requirements

  • Strong programming skills in Matlab, Python or equivalent
  • Proficient with Microsoft Office products

Person specification

  • Excellent analytical skills
  • Strong communication skills
  • Ability to manage multiple work streams in an environment of often conflicting pressures
  • Strong focus on accuracy of information
  • Experience of working in a fast paced environment is essential
  • Proactive, with intellectual curiosity to identify and explain anomalies