Senior Quantitative Risk Analyst

E1 EDF Trading Ltd; Greater London; On-site; GBP 60,000 - 80,000; Full time

Job summary

A leading energy trading firm is seeking a member for the Quant Risk team to develop and enhance risk metrics tools. This role involves collaborating with various risk management teams, providing quantitative analysis, and maintaining risk metrics calculations like VaR. The ideal candidate should possess a PhD or MSc in a relevant field and have at least 3 years of experience in quantitative risk management. Excellent analytical and programming skills in Python are essential for success in this fast-paced environment.

Qualifications

• At least 3 years experience in a quantitative/risk management role.
• Proven tracks in model development.
• Strong experience in model design and maintenance.

Responsibilities

• Design, develop, and maintain risk metrics calculations.
• Collaborate with various risk teams to enhance risk metrics.
• Provide quantitative support to global risk teams.

Skills

Quantitative analysis

Model development

Programming in Python

Attention to detail

Excellent analytical skills

Education

PhD or MSc in financial mathematics, applied mathematics or physics

Tools

Python

MATLAB

SQL

Microsoft Office

Job description

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 …).

Department

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.

Position purpose

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

Experience required

• 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

Technical requirements

• 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, GitHub, GitLab)
• Proficient with Microsoft Office products

Person specification

• 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