Quantitative Risk Analyst (Gas & Power)

Employer
Selby Jennings
Location
London, United Kingdom
Salary
Competitive Salary
Posted
May 02, 2021
Closes
Jun 13, 2021
Ref
1889120096
Job Role
Risk Manager
Sector
Finance
Contract Type
Permanent
Hours
Full Time
Level of qualification
CIMA, Newly qualified, Qualified

Key

Responsibilities:

  • Develop and maintain engines for calculating VaR, CaR and PFE.
  • Conduct an in-depth quantitative analysis across the risk and credit functions, ensuring the models and portfolios are performing as intended.
  • Ability to enhance and optimise the Internal ETRM system and developing the quantitative and reporting tools used by the Credit department, Market Risk, Finance and Front Office teams.
  • Validate all front office models (including pricing and valuation models) and exotic deals used for calculating end of day Greeks and MtM covering Gas/Hydro/Pump storages, Power plants, contracts (swing), Options (spread, basket of indices, barrier vanilla), Linear products etc.
  • Experience calculating PFE, EPE and ENE using the internal infrastructure - Excel and VBA.
  • Provide your recommendations on risk mitigation, keeping in mind the immediate and long-term commercial activities and development of the business
  • Carryout ad-hoc analysis as directed by the market Risk Manager.
  • Use a quantitative approach and analysis to support the risk control team on its methodologies - including limits (notional and vega), VaR back testing and assumptions.

Qualifications:

  • A degree in Quantitative Finance, Mathematics, Physics, or other science disciplines.
  • 2 year's experience sitting in a Similar position within a commodity trading house.
  • Strong communication skills - dealing with counterparts, senior management, internal/external regulators.
  • Experience working with Energy Documentation (EFET's and ISDA) and setting credit limits for use by the traders.
  • Strong financial analysis of Gas & Power derivatives.
  • Strong understanding of both physical and financial energy commodities including Gas, Power and Oil - 3 years + experience.
  • Fluent in English, Italian and Spanish

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