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Global Energy & Commodity Trading business is seeking a high calibre candidate to join their Quantitative Market Risk team in their London office. This is a high profile role which requires strong modelling skills coupled with a strong commercial awareness and excellent communication skills. Knowledge of energy or commodity trading would be very useful but is not essential. The key responsibilities are as follows
Develop quantitative risk methods and validate front office pricing and valuation models:
Develop and maintain risk metric quantification engines in close cooperation with Risk Control, Credit Risk and Treasury teams across the global business
Validate front office pricing and valuation models used to calculate end of day MtM and Greeks and covering a wide range of energy products including weather derivatives, spread options, options on baskets of indices, barrier options, vanilla options, swaps on baskets of indices and linear products
Validate and monitor exotic deal booking approximations
Provide support to the Risk Control teams on risk quantification and mechanics: notional limits, vega limits, VaR backtesting and assumptions,
Develop our internal Model Validation Matlab library to independently validate models and fully understand their strengths and weaknesses
Provide ad hoc analysis as directed by Market Risk Manager
Act as subject matter expert on quantitative risk methods in support of global business
To be considered for this role you will need to have the following:
MSc or PhD in Financial Mathematics, Mathematics or Physics or equivalent work experience
Strong Knowledge of option pricing theory and financial mathematic
Experience in a quantitative role for a commodity or energy trading company or investment bank
Experience in models development, programming and maintenance of models libraries
Knowledge of energy commodities and derivatives products
Strong programming skills in Matlab or equivalent
Strong Excel and VBA
You will also need strong communication skills and the ability to articulate complex problems and solutions to all audiences. In addition you should enjoy working in a fast paced environment and be able to work to tight timescales. Excellent analytical skills with a strong focus on accuracy of information coupled with determination are also desirable skills. There are excellent career development prospects with this role in a market leading business.