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
Responsibilities include:
  • 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
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