Commodity Quantitative Risk Analyst

United Kingdom
25 Sep 2017
03 Nov 2017
Contract Type
Full Time
Our client is a trader of Commodity and Energy products including, Gas, Power, LNG and Oil etc. based in Central London. The business continues to grow, and develop into exciting new products; offering new employees a very entrepreneurial, fast paced and changing environment to work in. This role is an opportunity for the successful candidate to further develop their career and train into the role, and build your skills in the role as you progress. It is however, aimed at a candidate with existing programming skills and a degree in a Quantitative subject such as Computer Science etc. Experience/knowledge of the Energy markets is advantageous, but not essential. JOB RESPONSIBILITIES: - Enhancement of VaR methodologies and any associated risk metrics, such as Gamma or Vega VaR; communicate of methodologies to the wider business; - Conduct ad-hoc quantitative analyses on the portfolio risk profile and propose new risk measures or stress tests accordingly; - Development of valuation methodologies for complex contracts, such as gas storage, swing, power tolling; - Development of risk metrics for complex businesses, such as LNG and blending of Products; - Automate various Market Risk processes, such as stress testing or back testing in order to promote efficiencies within the team; - Take ownership of short-term IT projects to develop or enhance our risk systems and risk metrics (e.g. prototyping offline analytical tools and liaising with developers in order to meet delivery timelines); - Contribute pro-actively to the regular assessment of the risk metric methodologies and the back\stress testing processes as the business develops and report any issue, loophole or inconsistency to the Market Risk manager; - Develop collaborative relationship with key stakeholders across the board (FO, MO, Ops, Finance and IT); - Improve and develop processes and valuation methodologies using various tools, such as F#, C#, SOL and VBA. EDUCATION, EXPERIENCE & QUALIFICATIONS REQUIRED: - Educated to minimum Degree level in Computer Science or equivalent Quantitative subject is essential. - Current work based experience in programming; as an analyst or in a development role etc (or similar) is essential. - Strong understanding of risks (i.e. Greeks) and P&L attribution in the context of options and structured Gas and Power products - preferred - Strong understanding of VaR-type metrics and option pricing concepts - preferred - Knowledge of swing and storage valuation - preferred. - Knowledge of programming (F#, C#, VBA) and database query tools (SQL) advantageous; - Track-record of automation of manual processes; - Track-record of improving existing procedures; - Experience in commodity markets and products - preferred - Project management experience; - Able to take and maintain an independent approach and challenge where appropriate.
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