| Job
Description : |
Are you motivated by the opportunity to grow in a multi-commodities and multi-talented fast-pace environment and are excited about the quantitative challenges of the cutting-edge commodities supply and trading business? Do you have strong analytical and modeling skills?
Our client is the world’s largest commodities trader founded in 1987. They are now seeking multiple experienced quant analyst(s), interested in a career in the field of Commodities Trading and Markets. The Senior Quant Analyst opportunities are available in the Risk Management Department of the Group. The successful candidate in Risk Management will be engaged in a variety of tasks in risk management and controls.
JOB RESPONSIBILITIES
Specific responsibilities:Developing risk management models to measure risks of different businesses and commodity-related transactions.Estimating and calibrating parameters for use in risk models (such as volatilities and correlations of forward prices, mean-reversion rates, etc.). Measuring and monitoring portfolio risks, including develop and implement Value-at-Risk and stress-testing methodologies. Validating key quantitative/analytical models developed by businesses and affiliates of the Group. Developing IT solutions appropriate to handle exotic option valuations and advanced value-at-risk type computations for different commodities and portfolios of deals.
Satisfaction is found working for a leading and fast growing commodity company with one of the most diverse mixes of commodities/ geographies in the world. The candidate will rise to the complex tasks presented by constant deal flow and have the tenacity to follow a set of complex controls that insure smooth deal execution and risk management.
The specific projects can include:
- Model the stochastic properties of commodities forward and spot prices.
- Determine the estimation procedure of the model parameters and determine statistical significance of the results.
- Develop volatility and correlation models that capture observed price behavior while affording analytical tractability and practicality for use in valuation and risk models.
- Estimate commodities volatilities of forward contracts at illiquid locations.
- Calibrate implied volatility curves to available broker quotes.
- Assess cross-maturity (such as between futures contracts with different delivery months) and cross-commodity correlations (such as between soft commodities and energy commodities) of high quality in order to accurately value physical assets and cross-commodity derivatives.
- Implement and enhance Monte Carlo price simulation models and methodologies to balance requirements for model accuracy, speed, and flexibility.
- Compute portfolio risk using Value-at-Risk methodologies.
- Understand complex portfolios composition and discern and report on portfolio risks. Such portfolios may include a variety of physical assets and financial instruments.
- Evaluate the effectiveness of risk models in assessing the risk of the portfolio.
- Enhance risk computation methodologies. Perform model back-testing and portfolio stress-test analyses.
- Assess and report on the effectiveness of hedging strategies and programs.
JOB REQUIREMENTS -
- Ability to work as part of a team and independently with multiple risk projects under tight deadlines. -
- Direct experience with mathematical and computational finance such as options pricing and risk models, implementation of Value-at-Risk methodologies. -
- Experience/exposure to commodities markets and trading would be a plus. - Programming experience in VBA, C++, MatLab, SQL, relational database.
- Hands on experience with Risk system and VaR calculation engines would be a plus.
- Advanced degree in Financial Engineering, Mathematical and Computational Finance, Physics, Statistics, Mathematics or other quantitative discipline.
- Excellent written and verbal communication skills.
SALARY
- Negotiable according to experience and qualifications
If you are interested in this position, please send your resume to pooja@linksrecruitment.com quoting reference JO#PH-10837 in the subject header.
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