Senior Quantitative Analyst

EDF Trading Ltd; City of London; On-site; GBP 70,000 - 90,000; Full time

Job summary

A leading energy trading firm is seeking a Senior Quantitative Analyst to validate pricing models and identify risks in energy markets. The role demands at least 3 years of relevant experience and requires strong Python programming skills. You'll be part of a diverse team, focused on developing innovative risk methodologies in a dynamic environment.

Benefits

Hybrid working

Personal pension plan

Private medical and dental insurance

Corporate gym memberships

Volunteering opportunities

Qualifications

• 3+ years in a quantitative/risk management role in energy trading or investment banking.
• Proven track record in Model Risk assessment.
• Solid knowledge of options pricing theory and financial mathematics.

Responsibilities

• Validate pricing and valuation models for various energy products.
• Identify optionality risk during trade approval.
• Assist in developing quant risk processes.

Skills

Quantitative analysis

Risk management

Python programming

Communication skills

Analytical skills

Education

MSc or PhD in financial mathematics, mathematics or physics

Tools

Python

Matlab

Microsoft Office

Job description

Senior Quantitative Analyst page is loaded## Senior Quantitative Analystlocations: Londontime type: Full timeposted on: Posted Todayjob requisition id: JR1001217When you join EDF Trading you’ll become part of a diverse international team of experts who challenge conventional ideas, test new approaches and think outside the box. Energy markets evolve rapidly so our team needs to remain agile, flexible and ready to spot opportunities across all the markets we trade in: power, gas, LNG, LPG, oil and environmental products. EDF Group and our customers all over the world trust that their assets are managed by us in the most effective and efficient manner and are protected through expert risk management. Trading for over 20 years, it’s experience that makes us leaders in the field. Energy is what we do. Become part of the team and you will be offered a great range of benefits which include (loaction dependent) hybrid working, a personal pension plan, private medical and dental insurance, bi-annual health assessment, corporate gym memberships, electric car lease programme, childcare vouchers, cycle to work scheme, season ticket loans, volunteering opportunities and much more. Gender balance and inclusion are very high on the agenda at EDF Trading so you will become part of an ever-diversifying family of around 750 colleagues based in London, Paris, Singapore, and Houston. Regular social and networking events, both physical and virtual, will ensure that you always feel connected to your colleagues and the business.Join us, make a difference and help shape the future of energy Job Description:**Department**Sitting within our Risk Function and reporting to the Chief Risk Officer (CRO), the Quant Risk department is responsible for* Implementing EDFT Model Risk Framework* Modelling Market, Credit and Liquidity RiskQuant Risk provides independent assessments of EDF Trading’s structured transactions and pricing, models, delivers quantitative analysis to the Risk Group and designs, develops and enhances EDF Trading’s Risk Metrics calculations ( VaR, PFE, CaR, Liquidity At Risk…). The department is organised into 2 teams: Model Validation and Risk metrics.**Position purpose**Key responsibilities are mainly focussed on;* Validation of Front Office pricing and valuation models.* Identification and quantification of real optionality risk inherent in physical and financial energy markets during exotic trade approval process.* Validation of methodology-based illiquid parameter calibration.* Assist in the development of quant risk processes in general.**Main responsibilities*** 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 assessing 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*This list is not exhaustive and may include other tasks assigned by the manager.***Experience required*** At least 3 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* Proven track record in Model Risk assessment and good knowledge of options pricing theory and financial mathematics* Strong experience in model development, programming and maintenance of model libraries* Knowledge of energy commodities and derivatives products* Experience of producing good quality quantitative analysis related documents is desirable.**Technical requirements*** Strong programming skills in Python and Matlab, or equivalent* Knowledge of numerical implementation of derivatives (mathematical) models* Proficient with Microsoft Office products**Person specification*** Excellent analytical skills* Strong communication skills and an effective Team player.* Ability to manage multiple work streams in an environment of often conflicting pressures.* Strong focus on accuracy of information and attention to details* Ability to build a good working relationship with multiple stakeholders whilst challenging output from their teams.* Experience of working in a fast paced environment is essential* Proactive, with intellectual curiosity to identify and explain anomalies**Hours of work:**40 hours per week, Monday to FridayWe are committed to equipping our employees with the tools that will enable them to fulfil their job to the highest standard. To that end we offer a wide range of technical and personal development courses both in-house and through third-party providers."It is a fast-paced and dynamic working environment where each day is interesting and challenging. There’s also an incredible pool of talent and skills within EDFT. I’m continuously learning from my colleagues.""There is no ‘typical’ day. I work on a wide range of compensation, benefit and mobility projects throughout the year. One thing’s for sure though, I’ll have my head in a spreadsheet at some point."