Quantitative Analyst

Somosierra Commodities; Warszawa; On-site; PLN 180,000 - 320,000; Full time

Benefits offered by this job

Medicover healthcare

English lessons

Benefits platform

Job summary

Somosierra Commodities seeks a Quantitative Analyst to lead the quantitative side of risk management, building models for FX and energy prices, forecasting exposures, and guiding hedging decisions.

You will define the methodology, validate data, and deploy models with an engineering team while reporting to the CFO. A strong foundation in statistics, time-series analysis, and Python is essential.

Qualifications

• Higher education in a quantitative field such as mathematics, econometrics, physics, CS, or financial engineering.
• At least two years of practical experience in a quantitative field related to risk, market analysis, brokerage, asset management/funds, banking, or trading.
• Strong Python skills with pandas, NumPy, SciPy, statsmodels or arch, and SQL.
• Solid knowledge of statistics and time-series econometrics, including backtesting methods.
• Ability to translate model outputs into clear management recommendations.

Responsibilities

• Build and maintain forecasting models for FX rates and energy commodity prices.
• Perform end-to-end P&L attribution, breaking down results by market, volume and FX drivers.
• Measure market risk with VaR, exposure limits, and breach analysis.
• Perform stress testing and sensitivity analysis, forecasting margin requirements.
• Assess hedging instrument effectiveness and value instruments for hedge accounting.
• Develop methodology for counterparty credit risk and trading limits.
• Define data requirements and validate input data quality via Data Engineer outputs.
• Hand models to FinTech for production deployment with clear acceptance criteria.
• Develop the risk framework including methodologies, thresholds and documentation.
• Provide analyses and recommendations to CFO and Management Board on hedging structures and risk costs.

Skills

Python

SQL

Time-series econometrics

Polish (C2)

English (B2+)

Education

Bachelor's or MSc in quantitative field

Tools

Bloomberg API

Refinitiv

Power BI

Airflow

Job description

The Quant / Quantitative Analyst is responsible for the quantitative side of risk management: modelling and forecasting FX and commodity exposures, measuring market risk, stress testing, instrument valuation, and P&L attribution. The function is being built from the ground up, so the role also includes defining the methodology and working standards.

The division of responsibilities within the department is clear: you build the models and methodology, the Financial Analyst handles operational exchange settlements, margining and counterparty limits, and the FinTech team deploys your models to production. The role does not include day-to-day settlement operations.

The greatest value for the CFO: a quantitative basis for hedging decisions, predictability of margin requirements, explainable P&L, and a documented, auditable risk methodology.

Key Responsibilities

• Build and maintain forecasting models for FX rates and energy commodity prices, including calibration and regular backtesting.
• End-to-end P&L attribution: break down results into market, volume and FX drivers and explain the sources of margin. You own this analysis.
• Measure market risk: Value at Risk (VaR), exposure limits, limit utilisation monitoring, and breach analysis.
• Perform stress testing and sensitivity analysis, and forecast margin requirements and margin calls. Ongoing margin monitoring is handled by the Financial Analyst based on your models.
• Assess the effectiveness of hedging instruments and value financial instruments, working with the Chief Accountant for hedge accounting purposes.
• Develop the methodology for assessing counterparty credit risk and setting trading limits. Day-to-day application of this methodology is the responsibility of the Financial Analyst.
• Define requirements for market and transaction data and validate the quality of data delivered by the Data Engineer - without reliable inputs, a model has no value.
• Hand models over to the FinTech team for production deployment: specifications, acceptance criteria, and post-deployment output validation.
• Develop the risk framework: methodologies, thresholds, escalation procedures, model validation, and documentation of assumptions and limitations.
• Provide analyses and recommendations to the CFO and Management Board regarding hedging structures, the cost of risk, and the utilisation of bank limits.

Requirements

• Higher education in a quantitative field: mathematics, quantitative methods, econometrics, physics, computer science, or financial engineering.
• At least two years of practical experience in a quantitative field - risk, market analysis, brokerage, asset management/funds, banking, or trading. We will consider less experience where there is a strong track record, such as research work or a portfolio of models.
• Very good Python skills: pandas, NumPy, SciPy, statsmodels or arch, as well as SQL. You write code that someone else can run and understand.
• Practical knowledge of statistics and time-series econometrics: stationarity, volatility models, diagnostic tests, and backtesting methodology.
• Understanding of financial reporting sufficient to work independently with the income statement and explain the sources of margin.
• Knowledge of derivatives and the mechanics of commodity or FX markets, combined with a critical approach to risk measures.
• Ability to translate model outputs into clear recommendations for the Management Board.
• Genuine interest in finance, programming and artificial intelligence; ability to work independently in a role being built from scratch.
• Polish at C2 level; English at B2 level or above.

Nice to Have

• Experience in energy, commodity trading or gas trading; knowledge of TGE, EEX, TTF and EUA markets.
• Experience in P&L attribution or portfolio performance control.
• Machine learning for forecasting or language models for data analysis and analytical workflow automation.
• Professional licences and qualifications: FRM, CFA, CAIA, securities broker licence, or investment adviser licence.
• Knowledge of Bloomberg API, Refinitiv, Power BI, and orchestration tools such as Airflow.

What We Offer

• Ownership of the risk methodology: you define the standard rather than maintain a model inherited from someone else.
• Direct collaboration with a CFO who works in Python and can discuss models at a technical level.
• Exposure to the full range of markets: pipeline gas, LNG, emissions allowances, FX markets, and bank financing.
• An engineering team that will deploy your models to production, plus a Data Engineer responsible for input data.
• Room to use machine learning and AI tools where they deliver measurable value.
• Medicover healthcare, English lessons, Benefits platform