- 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)
- Ensure Model Validation work are documented to appropriate standard
- Regularly 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 Quantitative Senior Risk Manager, in particular assesing 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
- At least 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
- Knowledge of numerical implementation of derivatives (mathematical) models
- Proficient with Microsoft Office products
- Excellent analytical skills
- Strong communication skills
- An effective Team player
- 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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Senior Quantitative Risk Analyst - London, United Kingdom - E1 EDF Trading Ltd
Description
Description
:Department
Quantitative Risk
Position purpose
Key responsibilities are focussed 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.
Main responsibilities
Experience required
Experience of producing good quality quantitative analysis related documents is desirable.
Technical requirements
Person specification
Hours of work:
40 hours per week, Monday to Friday
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