Responsibilities
The Models and Valuation group is a centre of quantitative expertise for JERAGM. The group has a broad capability in a wide area of commercial modelling and decision support. This includes deal structuring and valuation, financial engineering, optimisation and decision support analysis. The group gets involved in a wide range of areas across the business supporting both the Front Office and Middle Office functions.
The role will involve close liaison with Front Office Traders and Analysts, Market Risk, Credit and Counterparty Risk, Internal Audit and Product Control teams and require interaction across the business to maintain a strong control culture.
The successful candidate will be appointed at either Quantitative Analyst or Senior Quantitative Analyst level, depending on experience and demonstrated capability.
- Expert support for the JERAGM derivative valuation engine, In particular nonlinear deals both structured and vanilla exchange transactions.
- Development and implementation of a methodology for the estimation of non-observable market parameters required for complex structured deal valuation.
- Support the buildout of an advanced risk and valuation platform for the JERAGM business, including portfolio analysis, VaR and credit modelling.
- Work with other functions (both internal and external) to ensure that valuation methodologies and processes are reviewed and validated
- Provide technical leadership to ensure accurate and appropriate risk identification, measurement and controls process design for the JERAGM portfolio
- Review and provide insight of the quantitative trading strategies deployed by the quantitative trading desk
- Build a culture within the group and the JERAGM organisation recognising this group as centre of excellence for technical expertise
Qualifications
Experience Required
- Post graduate degree in finance, mathematics or related quantitative discipline
- At least 3 years experience in energy market risk management within an investment bank or energy trading company
- Detailed knowledge of global commodity markets both physical and derivative products. Specific markets include Global LNG, Coal and Freight markets, additional knowledge of related markets such as pipeline gas and electricity markets would be useful.
- Leading the development and implementation of a variety of quantitative based solutions to meet business requirements.
- Some understanding of the deal life cycle process particular as related to option transactions, including booking and expiry processes.
- Valuation of structured transactions, including identifying the risks, building a model, of the valuation and hedge parameters, sharing and getting buying of the results with the commercial team leading to successful execution
- Experienced in working in a pressured trade floor environment
- A commercial and technically minded person, interested in business problems and deploying advanced technical skills to resolve business issues
- Strong communication and interpersonal skills, including the ability to accurately communicate complex technical information in an accessible manner to all audiences
- Intellectually curious wanting to investigate problems and develop a solution
- Ability to communicate and motivate across borders, cultures and working environments (office/virtual)
- Strong team spirit and motivation, able to set and embody a high performance working culture
Technical Expertise
- Advanced knowledge of financial derivative and option theory as applied to commodity markets, including
- Stochastic price processes,
- Parameter estimation, and
- Valuation techniques encompassing closed form and monte carlo methods.
- Comfortable with a range of Value at Risk methodologies and related risk measures.
- Highly IT literate proficient in a range of development language and scientific languages, such as R, Matlab, Python (including numpy and pandas)
- Experience with a classical development language such as C/C++/C# would be an advantage
- Some experience with the use of and deployment to cloud platforms such as Azure would be helpful.
- Advanced expertise with office productivity tools such as Excel and VBA is expected.
