Senior Quantitative Risk Analyst - London, United Kingdom - eFinancialCareers
Description
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 storagesusing 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
- 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
- Strong programming skills in Matlab, Python or equivalent
- Proficient with Microsoft Office products
- 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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