Quantitative Researcher - Physical Commodities
- Cititec Talent Ltd
- London, United Kingdom
- £150k - £220k
- 04 Feb 2023
- 19 Feb 2023
- Job Function
- Industry Sector
- Finance - General
- Employment Type
- Full Time
- Formulate and implement models for onboarding new commodity products and derivatives, such as methodologies for constructing volatility surfaces and modeling physical assets.
- Be responsible for quality of risk metrics, such as vol calculation methodology.
- Develop methodologies and procedures to conduct historical and hypothetical stress testing, as well as analysis of the results using standardized statistical metrics.
- Work with Risk Management and Risk Tech to configure and calibrate risk systems, particularly for new products and physical assets.
- Apply quantitative methods to solve risk topics, such as estimating market liquidity and liquidation costs.
- Contribute to overall risk management team at BAM in risk analytics, processes, and reporting. This may involve ad-hoc risk analysis for portfolios that are not commodities-focused or investigation of impact of a commodities-focused portfolio to the overall risk of the firm.
- Contribute to Global Risk Committee's understanding of risk drivers and considerations in related markets.
- Improve and extend existing risk reporting tools, including risk analysis, P&L attribution, and portfolio construction, with focus on both regular periodic reporting and ad-hoc requests.
- At least 5+ years of experience, with 10+ years preferred, as a commodities quant, strategist, or quantitative risk officer, at a physical energy trading firm.
- Strong academic background (masters/doctorate) in quantitative fields such as math, physics, engineering, statistics, economics, or finance.
- Skilled in valuing and modeling physical commodity assets and structured transactions, such as gas or oil storage and pipeline transport, power tolls, transmission, etc.
- Experience with as many of the following commodities as possible: electricity, congestion markets, natural gas, crude oil, oil products, energy assets, agricultural commodities, structured transactions, shipping.
- Experience with seasonality in commodities risk models.
- Strong programming skills in Python and SQL. Must be familiar with numeric libraries such as pandas, numpy, etc.
- Strong problem-solving skills.
- Enjoy working in a collaborative environment and able to communicate complex ideas clearly