Description
:
Department
Quantitative Risk
Sitting within our Risk Function and reporting to the Chief Risk Officer (CRO), the Quant Risk department is responsible for
Modelling Market, Credit and Liquidity Risk Implementing EDFT Model Risk Framework
Quant Risk designs, develops and enhances EDF Trading’s Risk Metrics calculations ( VaR, PFE, CaR, Liquidity At Risk…), delivers quantitative analysis to the Risk Group and provides independent assessments of EDF Trading’s structured transactions and pricing models. The departement is organised into 2 teams: Risk Metrics and Model Validation.
Position purpose
You will be a senior member of the Quant Risk team, responsible for managing the Risk Metrics team developing models to assess Market, Credit and Liquidity Risk:
Responsible for designing, developing and maintaining EDF Trading’s quantitative risk metrics calculations (VaR, PFE, CaR. Liquidity at Risk …) Manage a team of 2 analysts to deliver new risk models and enhancements to EDF Trading existing Risk Metrics calculations Work collaboratively with our numerous and diverse stakeholders: Market Risk, Credit Risk, Treasury, Risk IT, Quant Analysts, Product Control … Propose practical models/solutions adapted to the energy markets that EDFT are active in Prepare EDF Trading’s Risk Metrics platform for the future Provide quantitative support to global risk teams and commercial teams to assess the portfolio risk exposures and support their daily publications of VaR, PFE… Be a technical expert of EDFT Risk models Support the Head of Quant Risk in various aspects of Risk Modelling and Risk Assessment Stay abreast of latest development in quantitative modelling and proactively seek to apply best practice
Experience required
5+ years’ experience in quantitative risk management at an investment bank or energy trading company Proven track records of model development Able to manage all aspects of risk model development Experience in managing junior resources, multiple stakeholders and lead taskforce projects Expertise in options pricing theory and financial mathematics Strong experience in model development, programming and maintenance of model libraries
Technical requirements
Experience in developing and maintaining production risk models (VaR, PFE…) Strong understanding of energy commodities and energy derivatives instruments Strong programming skills in Matlab, Python or equivalent Proficient with Microsoft Office products
Person specification
Excellent analytical skills coupled with the ability to explain complicated theoretical concepts to non-quantitative colleagues into clear concise analysis Ability to manage multiple work streams in a trading environment of diverse and often conflicting pressures Strong commercial and risk management awareness Strong attention to detail and focus on accuracy of information Strong interpersonal and communication skills Ability to complete work under tight deadlines and to manage time effectively Experience of working in a fast paced environment is essential Proactive
Hours of work:
40 hours per week, Monday to Friday
