Pricing Quant Analyst - Trading Risk

Competitive
Permanent
London
06 May 2020
BBBH759147

Global Commodities Trading House seeks a Pricing Quant for their Traded Risk team.

The team is responsible for validation of Python based models used by the traders and Risk as well as for the development, enhancements and maintenance of Python and C# based grid distributed Risk models.

The team is responsible for validation of Python based models used by the traders and Risk as well as for the development, enhancements and maintenance of Python and C# based grid distributed Risk models.

The successful applicant is responsible for validation of front office valuation models and development of Risk models. The role will involve a wide range of quantitative tasks and candidates will need to demonstrate they have the range of technical and personal skills necessary to work within such a challenging role.

DUTIES & RESPONSIBILITIES

This involves (not limited to):

  • Validation of Front Office Python based valuation models used for trading and hedging
  • Contribute to the design and the development of an independent Risk model validation Python based library
  • Participate in/lead Middle Office risk management projects
  • Explain complex product modelling and valuation methodologies to the wider Risk team
  • Upgrade external packages the framework relies on and ensure existing functionality performs as expected
  • Maintain the existing suite of unit tests
  • Respond to ad-hoc queries raised by the wider of the Risk team

SKILLS & COMPETENCIES

  • A strong analytic background, with experience of applying probability theory, stochastic calculus, time series and differential equation techniques to financial problems
  • In-depth understanding of Monte Carlo risk modelling methodologies - Market and Credit VaR, PFE and EaR.
  • Python programming skills
  • Experience with GitHub desirable
  • Ability to communicate complex issues in understandable manner to non-expert peers and senior management
  • Ability to work under pressure and to tight deadlines
  • Able to work as part of a team as well as individually

EXPERIENCE

  • Experience in Monte Carlo modelling of Energy commodity derivatives within a trading environment is advantageous.
  • Risk modelling experience in Python or C# is desirable.

EDUCATION

  • A PhD or Masters Degree level (or equivalent) in a highly quantitative subject.

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.

BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.

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