- Develop and improve market & asset models to measure Commodity & Credit Risk
- Use statistical methods to calibrate model inputs e.g. volatilities & correlations
- Back test valuation methods and support their system implementation
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This company does not only endeavour to satisfy their customers, but also their close to 93,500 employees in over 30 countries. Because they make them what they are: one of the world’s largest investor-owned power and gas companies.
The Energy Trading branch has been launched to take advantage of the opportunities available in the developing European markets. Striving to become the best and most exciting integrated energy trading business in Europe, this company offers a fast-paced working environment with a culture of openness and high performance. With arguably the best portfolio of assets in Europe, this company offers an attractive business strategy, varied roles and competitive packages. |
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- Master degree/ Phd in appropriate numerate discipline e.g. Mathematical Finance, Statistics, Physics or related discipline
- Excellent knowledge of at least two of: quantitative finance, stochastic calculus, numerical solutions to partial differential equations, Monte Carlo techniques, Time Series Analysis or Artificial Intelligence
- Min. 2 years experience in implementing various risk valuation and assessment models in the areas of market risk or credit risk and energy option pricing models, including real option valuation, within a team environment
- Programming skills e.g. in Matlab
- Ability to communicate complex technical ideas in clear and simple terms as well as to peer group technical experts
- Quantitative modelling experience within an energy company
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