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Quantitative Research Director Commodities - London
Salary: £120-140,000 + Excellent bonus + excellent benefits.
Our client is a leading European investment bank who seeks a senior, experienced candidate to become the pillar of the commodity quant team as the most senior person.
The chosen candidate will:
-Ensure correct and robust implementation of the models within the relevant bank's systems, including dealing correctly with all aspects of the trade, which include dealing with events that affect the valuation, providing relevant risk measures to the system that may go beyond the traditional “Greeks”, optimising the code for fast performance and supporting or providing enhanced performance for the system using parallel processing or multi-threading.
-Pillar of the Commodity quant team as the most senior person
-Define the strategic target regarding the model and the numerical method to be studied for the next generation of product, in common with the Head of FX & Commos Quant team
-Provide a regular update of the current activity.
-Privileged entry point for the trading when they need an urgent fix
Key responsibilies will include:
-Parameter stability – any model parameters that are not market observable or explicitly dynamic in the model should tend to be stable when back-testing against historical data.
-Replication – key to hedging complex products is replicating with simple products.
-Aggregation – models have to allow aggregation of risk across products.
-Convexity – models have to price any convexity in a product correctly.
-P&L Explanation – models have to explain and correctly predict the P&L seen on market moves.
-Monitor all the projects carried out by the research team.
-Give suitable advice in order to keep the consistency of our environment.
-Model approvals-interact with MCRA to ensure speedy and appropriate approval of models
The ideal candidate will be:
-Able to explain complex ideas in a clear and coherent manner to traders / sales / management both oral, written or in presentation.
-Able to share ideas and learn from others.
-Self-driven with a strong desire to meet deadlines, and to work accurately and quickly.
-Integrity, desire to have correct, robust and safe mathematical models and implementation.
-Innovative ideas, ability, courage and desire to suggest and develop novel approaches.
-IT literate.
-Mathematically minded (knowledge of financial mathematics, i.e. stochastic calculus, probability theory; ability to program numerical algorithms in C++).
-Expertise in Oil/US nat gas/seasonal models and power if possible.
-Knowledge of source control systems
Keywords: Quantitative Analyst; Front office; Commodities; Exotics; Derivatives; C++; Emerging Markets; London; UK
To apply please email your CV in word format or call + 44 (0) 207 019 4137.
www.selbyjennings.com
Apply by email.
Please do not modify the subject of the mail or your application will not be considered.
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