Senior Quant Risk Analyst/Developer Full Time

Cititec Talent Limited

Senior Quantitative Risk Analyst/Developer
Commodities Trading
London, UK (hybrid)

Company Overview: Our client is a global leader in the energy and commodities markets, helping clients navigate complex markets to maximize revenues and minimize risks. They are looking for a Senior Quant Risk Analyst/Developer to join their Quant Modeling team. This role is critical in developing and enhancing the firm’s risk management systems, focusing on Value-at-Risk (VaR) models and advanced risk tools to support various trading activities.

Responsibilities:

• Design and develop new VaR models using historical and factor-based approaches. Research other VaR models with emphasis on commodity market volatility and seasonality.
• Build, enhance, test and maintain quantitative models specialized for the needs of trading and risk managers, including derivatives pricing and volatility marking. The primary focus is on commodities derivatives, with exposure to other products such equity and rates derivatives.
• Contribute to the firm’s effort to calculate and aggregate raw risk metrics (greeks) from different trading systems to enhance the firm’s overall risk management capabilities.
• Additional emphasis is on counterparty risk with projects on PFE/XVA and initial margin calculations.
• Improve and extend existing risk reporting tools, including risk analysis and P&L attribution.

Requirements:

• Advanced degree in a quantitative field such as Mathematics, Statistics, Financial Engineering, or a related discipline.
• At least 5+ years of experience as a commodities quant or strategist or quantitative risk officer, gained in a Hedge Fund, Oil Major, Commodities Trading House or a Bank. Good knowledge of the commodities derivatives trading landscape.
• Proven track record in market risk, developing and implementing VaR models, with deep knowledge of the modelling approaches and their strengths/weaknesses. Ideally, the candidate will have gained exposure to commodities specifics such as seasonality, but a strong experience from other asset classes will be considered (eg Rates).
• Expert knowledge of risk and understanding of the application of complex mathematical concepts related to Monte Carlo, options pricing and time series analysis.
• Experience in counterparty risk and PFE/XVA frameworks using commodities factor-based approaches and correlation analytics will be considered a strong plus.
• Experience in Equities and/or Rates will be considered a plus.
• Advanced programming skills, ideally in Python.
• Strong problem-solving and troubleshooting skills.