Working within a leading Energy Trading business based in London you will be focused on identification and quantification of real optionality risk inherent in physical and financial energy markets, including validation of front office pricing and valuation models and development of quantitative risk methodologies.
ACCOUNTABILITIES
- Validate front office pricing and valuation models used to calculate end of day MtM and Greeks covering a wide range of products: virtual power plants, hydro storages, gas storages, pump storages, swing contracts, weather derivatives, spread options, options on baskets of indices, barrier options, vanilla options, swaps on baskets of indices, linear products, PPA, etc…& using a wide range of models, LSS, stochastic, dynamic programming, spread-options,etc..
- Validate non observable market parameters estimations (correlations, daily volatilities…) with statistical analysis using Python
- Validate and monitor exotic deals booking approximations
- Develop our internal Model Validation Matlab library to independently validate models and fully understand their strengths and weaknesses
- Provide quantitative support to the risk control teams on risk methodologies
- Provide ad hoc analysis as directed by Risk Manager
- Provide quantitative analytical support to global businesses
- Stay abreast of latest development in quantitative modelling and proactively seek to apply best practice
EXPERIENCE REQUIRED
- Graduate qualification:
- MSc or PhD in Financial Engineering, Mathematics or Physics or equivalent work experience
- Strong Knowledge of options pricing theory and financial mathematics
- 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
- Good 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 beneficial
- Proactive, with intellectual curiosity to identify and explain anomalies
