Senior Quantitative Risk Analyst

Description

The Quant Risk team delivers quantitative analysis to the Risk Group, provides independent assessments of EDF Trading’s pricing models and design, develop and enhance EDF Trading’s Risk Metrics calculations (VaR, PFE, CaR, DV01 …).

The department is organised into 2 teams, one team responsible for implementing EDF Trading’s model validation framework and one team in charge of EDF Trading risk metrics calculations.

You will be a member of the Risk Metrics team, responsible for developing EDF Trading risk metrics tools

• Responsible for designing, developing, and maintaining EDF Trading’s quantitative risk metrics calculations (VaR, PFE, CaR, DV01 …)
• Work collaboratively with Market Risk, Credit Risk, Risk IT, the Quant Team, Treasury, and IT to deliver enhancements to EDF Trading Risk Metrics calculations and prepare EDF Trading’s risk metrics platform for the future
• Provide quantitative support to global risk teams, to Risk Control on quantitative analysis requested to support their daily publication of VaR, Credit Risk to support their publication of PFE and Treasury for Cash-at-Risk
• Stay current with state-of-the art latest quantitative modelling and proactively look to apply best practice

• At least 3 years experience in a quantitative / risk management role for an energy trading company, investment bank, fintech or trading house
• PhD or MSc in financial mathematics, applied mathematics or physics or similar experience
• Proven track records of model development
• Strong experience in model design, programming, and maintenance of model libraries
• Expertise in options pricing theory and financial mathematics
• Knowledge of energy commodities and derivatives products

• Experienced in developing and supporting production risk models (VaR, PFE, CaR…)
• Good understanding of energy commodities and energy derivatives instruments
• Strong knowledge of stochastic calculus
• Strong programming skills in Python, MATLAB, SQL or equivalent.
• Skilled in modern source control and development best practises (e.g. TFS, Git Hub, Git Lab)
• Proficient with Microsoft Office products

• Excellent analytical skills
• Strong attention to detail and focus on accuracy of information
• Ability to manage multiple work streams in a trading environment of diverse and often conflicting pressures
• Effective communication skills, with ability to articulate technical knowledge and complex concepts into clear concise analysis
• Experience of working in a fast-paced environment is essential
• Proactive

Hours of work:

40 hours per week, Monday to Friday