Senior Quantitative Analyst

Description

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 Risk

Quant 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.

• 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.

• 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

• 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.

• Strong programming skills in Python and Matlab, or equivalent
• Knowledge of numerical implementation of derivatives (mathematical) models
• Proficient with Microsoft Office products

• 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 Friday