Quantitative Risk Analyst

Recruiter
Docklands
Location
London
Salary
50000.00 - 66300.00 GBP Annual
Posted
13 Sep 2017
Expires
21 Sep 2017
Contract Type
Permanent
up to GBP66,300

- Enhancement of VaR methodologies and any associated risk metrics, such as Gamma or Vega VaR; communicate of methodologies to the wider business;
- Conduct ad-hoc quantitative analyses on the portfolio risk profile and propose new risk measures or stress tests accordingly;
- Development of valuation methodologies for complex contracts, such as gas storage, swing, power tolling;
- Development of risk metrics for complex businesses, such as LNG and blending of Products;
- Automate various Market Risk processes, such as stress testing or backtesting in order to promote efficiencies within the team;
- Take ownership of short-term IT projects to develop or enhance our risk systems and risk metrics (e.g. prototyping offline analytical tools and liaising with developers in order to meet delivery timelines);
- Contribute pro-actively to the regular assessment of the risk metric methodologies and the back\stress testing processes as the business develops and report any issue, loophole or inconsistency to the Market Risk manager;
- Develop collaborative relationship with key stakeholders across the board (FO, MO, Ops, Finance and IT);
- Improve and develop processes and valuation methodologies using various tools, such as F#, C#, SQL and VBA.

QUALIFICATION REQUIREMENTS

Degree in Computer Science / Engineering or equivalent

- Knowledge of programming (F#, C#, VBA) and database query tools (SQL) advantageous;
- Track record of automation of manual processes;
- Track record of improving existing procedures;
- Experience in commodity markets and products;
- Project management experience;
- Able to take and maintain an independent approach and challenge where appropriate.