Quantitative Risk Analyst

#Job number :SEFEGR00382


Risk


London


Permanent

The successful applicant is responsible for validation of front office valuation models and development of Risk models. The role will involve a wide range of quantitative tasks and candidates will need to demonstrate they have the range of technical and personal skills necessary to work within this challenging role.

The team is responsible for validation of Python based models used by the traders and Risk as well as for the development, enhancements and maintenance of Python and C# based grid distributed Risk models.

The successful applicant is responsible for validation of front office valuation models and development of Risk models. The role will involve a wide range of quantitative tasks and candidates will need to demonstrate they have the range of technical and personal skills necessary to work within this challenging role.

Want to join us on our journey?

What you will do?

This involves (not limited to):

  • Validation of Front Office Python based valuation models used for trading and hedging
  • Create and develop Middle Office risk models
  • Participate in/lead Middle Office risk management projects
  • Respond to ad-hoc queries raised by the wider Risk team
  • Explain complex product modelling and valuation methodologies to the wider Risk team
  • Upgrade external packages the framework relies on and ensure existing functionality performs as expected
  • Maintain in good working order the existing codebase owned by the team, extending the suite of unit tests as appropriate
  • Develop testing frameworks for Front Office pricing libraries
  • A strong analytic background, with experience of applying probability theory, stochastic calculus, time series and differential equation techniques to solving financial problems
  • In-depth understanding of Monte Carlo risk modelling methodologies – including Market, Credit VaR and PFE
  • Good programming skills, preferably in Python and/or C#
  • Ability to develop code in a source-controlled environment
  • Ability to communicate complex issues in an understandable manner to non-expert peers and senior management
  • Ability to work under pressure and to tight deadlines
  • Able to work as part of a team as well as individually

What you’ll bring to the role?

  • Experience in Monte Carlo modelling of Energy commodity derivatives within a trading environment is advantageous.
  • Exposure to time series analysis and ML techniques is a plus.
  • Risk modelling experience in Python or C# is desirable.

Our offer to you

In return we offer a competitive starting salary supported by a comprehensive, and broad reaching benefits package which includes

  • bonus earning potential
  • non-contributory pension
  • 25 days holiday plus bank holidays and volunteering days
  • buy / sell holidays
  • life assurance
  • medical and dental insurance
  • range of optional flexible benefits

Based from our offices in London, you can benefit from hybrid working offering the flexibility to spend some of your working week at home. We are committed to supporting your career growth with opportunities to develop both your knowledge and experience through a blended approach to learning.

 

About SEFE

As integrated midstream energy company headquartered in Berlin, SEFE Securing Energy for Europe ensures the security of energy supply in Germany and Europe and drives the green energy transformation. SEFE is active in trading & portfolio management, sales, transportation, and storage of energy and has its strongest presence in Germany and the UK. SEFE employs around 1,500 people and supplies over 50,000 customers, in particular industrial customers, and municipal utilities in Germany and seven other European markets. With a sales volume of around 200 TWh of power and gas, SEFE plays a central role in the stability of the energy supply in Germany and Europe. SEFE is owned by the Federal Government of Germany.

Apply for role
VIEW ALL London JOBS