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 calculationsWork 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 inPrepare EDF Trading’s Risk Metrics platform for the futureProvide 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 modelsSupport the Head of Quant Risk in various aspects of Risk Modelling and Risk AssessmentStay abreast of latest development in quantitative modelling and proactively seek to apply best practiceExperience required
5+ years’ experience in quantitative risk management at an investment bank or energy trading companyProven track records of model developmentAble to manage all aspects of risk model developmentExperience in managing junior resources, multiple stakeholders and lead taskforce projectsExpertise in options pricing theory and financial mathematicsStrong experience in model development, programming and maintenance of model librariesTechnical requirements
Experience in developing and maintaining production risk models (VaR, PFE…)Strong understanding of energy commodities and energy derivatives instrumentsStrong programming skills in Matlab, Python or equivalentProficient with Microsoft Office productsPerson specification
Excellent analytical skills coupled with the ability to explain complicated theoretical concepts to non-quantitative colleagues into clear concise analysisAbility to manage multiple work streams in a trading environment of diverse and often conflicting pressuresStrong commercial and risk management awarenessStrong attention to detail and focus on accuracy of informationStrong interpersonal and communication skillsAbility to complete work under tight deadlines and to manage time effectivelyExperience of working in a fast paced environment is essentialProactiveHours of work :
40 hours per week, Monday to Friday
