Senior Quantitative Risk Analyst

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

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

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