Quant Risk Analyst

You will need to have 2 yrs minimum of quant risk modelling from within a financial or energy trading firm, knowledge of quant finance/stochastic calculus solutions and programming skills of Matlab, VBA or similar will be a bonus.

Responsibilities
· Develop/ improve risk models to measure EETs commodity,credit & liquidity risk (market, asset, VaR/PaR/MaR/CVaR models)
· Use statistical methods to calibrate model inputs e.g. Volatilities, Correlations
· Back test risk models and support their system implementation
· Review, test and approve all model changes in position, Valuation, Price curve etc. models before official use
· Act as interface to auditors for model audits
· Communicate complex modelling aspects to the teams customers in an understandable way, verbally or by presentations or trainings
· Document model changes and tests and maintain method related policies, procedures and processes

Qualifications
· Master Degree/ Phd. in appropriate numerate discipline e.g. Mathematical Finance, Statistics, Physics
· Excellent knowledge of at least two of: quantitative finance, stochastic calculus, numerical solutions
· Min. 2 years experience in quantitative risk/value modelling in a bank or energy company
· Programming skills in Matlab, skills in other languages advantageous
· Ability to communicate complex technical ideas in clear language, writing and slides
· Proven track record in delivery of complex modelling solutions in projects