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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
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
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