Competitive Salary OfferedJob Purpose/Key responsibilities:
We are looking for a Quantitative Analyst to join the Global Commodities Quant Team, within the Markets Quantitative Analysis (MQA) department, to support the Commodities business in London.
Markets Quantitative Analysis (MQA) is part of the Global Markets business and has responsibility for providing the analytical models which are used for pricing securities and risk managing the Firm’s positions throughout the Markets’ businesses. The scope of this work extends from the research into the mathematical derivation of the model, through the coding, testing, and documentation of the model for formal validation signoff, and finally to delivering the model both to the desktop and to Technology for incorporation into the Firm’s books and records systems.
The Commodities Quantitative Analysis team is a global team of quants located on three trading floors worldwide: in London, Houston and Singapore. The team’s mandate is to provide quantitative support for the trading, structuring and origination teams in Global Commodities Markets. The main focus of the group includes: pricing methodologies, hedging strategies, risk management and analytics development. The quantitative analysts work closely with trading, structuring, IT, risk management, finance and other control functions to develop a better understanding of Risk and PandL and add value to the business.
Key Responsibilities include:
- Development of pricing, calibration and hedging methodologies for structured commodities transactions
- Implementation of pricing and risk models in the Front-Office Analytics library
- Development of quantitative investment strategies for the commodities business
- Building desk tools for PandL, hedging analysis, stress-testing in Excel/VBA/Python
- Development and maintenance of the in-house C analytics library
- Work on general efficiency improvements and optimization of the library, including: performance, memory management, GPUs, multi-threading …
- Working on day-to-day support processes for the business
- Working on the various Regulatory projects impacting the business, including: Model Risk, CCAR, PAA
- Experience in numerical analysis, Monte-Carlo methods, probability and stochastic calculus
- Knowledge of Commodities markets
- Knowledge of Fixed income modelling
- Fluency in mathematical finance and statistical analysis
- Experience in programming using C , Python and VBA
- PhD or MSc in Mathematics, Physics, Engineering, Finance or Economics
- Good verbal and written communication skills
- Ability to work in a team and to work well under pressure in a Front-Office environment
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.