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Quantitative Risk Analyst (Gas & Power)

Employer
Selby Jennings
Location
London, United Kingdom
Salary
Competitive Salary
Closing date
Jan 15, 2022

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Job Role
Risk Manager
Sector
Finance
Contract Type
Permanent
Hours
Full Time
Level of qualification
Newly qualified, Qualified, CIMA
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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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