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Senior Quantitative Risk Analyst

EDF Trading is active in the electricity, natural gas, LPG, oil and environmental products markets.

(more about EDF Trading)
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Senior Quantitative Risk Analyst

Senior Quantitative Risk Analyst
Location: London
Department: Market Risk

Description

 

Job title: Senior Quantitative Risk Analyst

Reports to: Quantitative Risk Manager

Location: London

Company information

EDF Trading is a leader in the international wholesale energy markets. It manages a portfolio of assets which give it the ability to source, supply, transport, store, blend and convert physical commodities around the world.  These capabilities enable EDF Trading to deliver essential asset optimisation services, risk management and wholesale market access to the EDF Group and its third party customers, helping them to realise the value inherent in their asset portfolios.

EDF Trading is active in the electricity, natural gas, LNG, upstream gas, coal and freight, and environmental products markets.  It also has a commercial and industrial retail business in North America.  It is one of the largest wholesale market traders in Europe for power and gas, one of the main providers of energy management services for power generation companies in the US and the fifth largest marketer of gas in North America.  It is one of the largest importers of coal into Europe and ranks amongst the top ten independent US energy retailers to C&I customers.

EDF Trading is a 100% owned subsidiary of EDF, Europe’s leading electricity producer.

EDF Trading has around 1000 employees with its main offices in London, Paris, Houston and Singapore.

Department

Quantitative Risk Methods and Model Validation

Position purpose

Key responsibilities are focussed on identification and quantification of real optionality risk inherent in physical and financial energy markets, including validation of front office pricing and valuation models and development of quantitative risk methodologies:

  • Validate front office pricing and valuation models used to calculate end of day MtM and Greeks covering a wide range of products: PPA, virtual power plants, spread options, weather derivatives, hydro storages, pump storages, swing contracts and gas storages using a wide range of mathematical models (e.g. least-square Monte Carlo, stochastic dynamic programming)
  • Validate non observable market parameters calibration with statistical analysis using Python
  • Validate and monitor exotic deals booking approximations
  • Develop our internal Model Validation library to independently validate models and fully understand their strengths and weaknesses
  • Provide quantitative support to the risk teams on risk methodologies
  • Provide ad hoc analysis as directed by Head of Quantitative Risk Methods & Model Validation, in particular assesing modelling of new business
  • Provide quantitative analytical support to global businesses
  • Stay abreast of latest development in quantitative modelling and proactively seek to apply best practice

Experience required
  • At least 3 years experience in a quantitative / risk management role for an energy trading company or investment bank
  • MSc or PhD in financial mathematics, mathematics or physics
  • Expertise in options pricing theory and financial mathematics
  • Strong experience in model development, programming and maintenance of model libraries
  • Knowledge of energy commodities and derivatives products

Technical requirements
  • Strong programming skills in Matlab, Python or equivalent
  • Proficient with Microsoft Office products

Person specification
  • Excellent analytical skills
  • Strong communication skills
  • Ability to manage multiple work streams in an environment of often conflicting pressures
  • Strong focus on accuracy of information
  • Experience of working in a fast paced environment is essential
  • Proactive, with intellectual curiosity to identify and explain anomalies

Hours of work:

8.30am – 5.30pm, Monday to Friday

 

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