Senior Quantitative Analyst- Canary Wharf – 4 Months – 650 per day Full Time

ABW Recruitment

Senior Quantitative Analyst/Model Validation Quantitative Advisor

My client a leading Energy Supplier based in Canary Wharf requires a Senior Analyst/Model Validation Quantitative Advisor for a 4 month initial contract @ £650 per day (inside ir35)

Location: London Canary Wharf or Sunbury 3 days. Home working 2 days

In Trading & Shipping (T&S), our purpose is to power and navigate a constantly evolving world. We’re always striving for more innovative digital solutions, sustainable outcomes and closer collaboration across our company and beyond.

The Model Validation Team sits within Finance, T&S and provides effective assurance of quantitative models used in T&S, through delivery of independent model validations. Our validation activities range from core valuation models used for derivative pricing, to validation of models used in the derivation of price/parameter input curves. The team’s operations span across Singapore, London, Chicago and Houston, covering T&S’s global Gas, Oil and Power trading activities.

As a senior analyst you will be responsible for delivering practicable validations to models of various complexity. The role involves the development of reference valuation models, statistical/time-series data analysis and model parameter estimation and offers regular interaction with risk teams, traders, technology teams and Front Office quants at all levels and across all regions.

Key accountabilities

• Perform efficient and effective validation of internal and third-party models.
• Provide technical advice to commercial and control functions on the representation, valuation and risk measurement of deals involving optionality and/or illiquid assets.
• Work closely with model users & developers to support and guide best practice for the mitigation of model risk within T&S.
• Implement cross-commodity derivative valuation frameworks in the companies proprietary risk quantitative library, including new algorithms for stochastic process simulation, stochastic dynamical program solvers and calibration methodologies.
• Employ modern software development practices for maintaining model correctness and performance.
• Supervise and coach less experienced analysts in the team.

Essential education:

• Undergraduate degree, plus PhD or MSc degree in a quantitative subject area, (eg physics, mathematics, electrical engineering or mathematical finance).

Essential experience and job requirements:

Practical experience of:

1. Financial derivatives valuation methodologies and the fundamentals of trading including familiarity with financial instruments and physical assets.
2. Stochastic calculus, probability theory and Levy processes, and associated numerical methods for their practical implementation, including advanced Monte Carlo methods, transform techniques and PDEs. To include local and stochastic volatility, jump and regime-switching models.
3. Dependency modelling, including copulas, cointegration and local correlation approaches.
4. Pricing in illiquid, incomplete markets. To include utility function-based approaches.
5. Optimization, stochastic control, stochastic dynamical programming and numerical linear algebra.
6. Implementing advanced numerical algorithms.
7. Practical methods of estimating computational complexity and expected algorithm performance.
8. C++ 17 and Python 3 programming languages, plus third-party libraries, including Boost, MKL, pybind11, NumPy and Pandas.

Good knowledge of US, UK and European Natural Gas markets, power, crude oil and refined products, LNG, environmental products and FX.
Lead initiatives, influence and participate in decisions and collaborate effectively with commercial and functional partners.

Desirable criteria

• Proven experience of the OpenLink Endur and Murex ETRM platforms.
• Familiarity with the general principles of risk measurement and market risk metrics, including VaR and Expected Shortfall.
• Model Validation experience.

We are an equal opportunity employer and value diversity at our company. We do not discriminate on the basis of race, religion, colour, national origin, sex, gender, gender expression, sexual orientation, age, marital status, veteran status, or disability status.