Description :DepartmentThe Quant Risk team delivers quantitative analysis to the Risk Group, provides independent assessments of EDF Trading’s pricing models and design, develop and enhance EDF Trading’s Risk Metrics calculations (VaR, PFE, CaR, DV01 …).The department is organised into 2 teams, one team responsible for implementing EDF Trading’s model validation framework and one team in charge of EDF Trading risk metrics calculations.Position purposeYou will be a member of the Risk Metrics team, responsible for developing EDF Trading risk metrics toolsResponsible for designing, developing, and maintaining EDF Trading’s quantitative risk metrics calculations (VaR, PFE, CaR, DV01 …)Work collaboratively with Market Risk, Credit Risk, Risk IT, the Quant Team, Treasury, and IT to deliver enhancements to EDF Trading Risk Metrics calculations and prepare EDF Trading’s risk metrics platform for the futureProvide quantitative support to global risk teams, to Risk Control on quantitative analysis requested to support their daily publication of VaR, Credit Risk to support their publication of PFE and Treasury for Cash-at-RiskStay current with state-of-the art latest quantitative modelling and proactively look to apply best practiceExperience requiredAt least 3 years experience in a quantitative / risk management role for an energy trading company, investment bank, fintech or trading housePhD or MSc in financial mathematics, applied mathematics or physics or similar experienceProven track records of model developmentStrong experience in model design, programming, and maintenance of model librariesExpertise in options pricing theory and financial mathematicsKnowledge of energy commodities and derivatives productsTechnical requirementsExperienced in developing and supporting production risk models (VaR, PFE, CaR…)Good understanding of energy commodities and energy derivatives instrumentsStrong knowledge of stochastic calculusStrong programming skills in Python, MATLAB, SQL or equivalent.Skilled in modern source control and development best practises (e.g. TFS, GitHub, GitLab)Proficient with Microsoft Office productsPerson specificationExcellent analytical skillsStrong attention to detail and focus on accuracy of informationAbility to manage multiple work streams in a trading environment of diverse and often conflicting pressuresEffective communication skills, with ability to articulate technical knowledge and complex concepts into clear concise analysisExperience of working in a fast-paced environment is essentialProactiveHours of work:40 hours per week, Monday to Friday
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