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Employer: Fortune 100
Recruiter: Greenleaf Systems
Location: CA, United States
Posted: November 14, 2008 Expires: February 11, 2009
Job Title: Quantitative Analyst/ Sr. Quantitative Analyst
Description:

Quantitative Analyst/ Senior Quantitative Analyst position

 

We are looking for candidates with experience in Quantitative Modeling, Risk management for our clients on the West Coast. Candidates with a Financial Engineering degree or a Ph.D would  be preferred. Any experience in Quantitative Modeling in Energy and volatile assets would be plus

 

Department Overview

 

The Quantitative Group is engaged in a variety of tasks in risk management and controls. Specific responsibilities of the group include developing risk management models to measure risks of different businesses and commodity-related (primarily  commodities) 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, stress-testing, hedge effectiveness analysis, validating key models developed by other businesses and affiliates of the Company, developing IT solutions appropriate to handle exotic option valuations and advanced value-at-risk type computations for different commodities and portfolios of deals.

 

Position Summary

 

Quantitative Analyst/Senior Quantitative Analyst is an individual contributor position within Quantitative Team.  This position is expected to contribute in the areas of risk analysis and modeling, model validation, portfolio risk management, stress testing, hedge effectiveness analysis and projects.

 

Responsibilities

  • Risk Analysis and Modeling: Mathematical modeling of commodity (primarily  commodities) prices, derivatives and transactions as needed to analyze and quantify risks.  This may involve stochastic modeling of forward and spot prices, estimation of model parameters (such as volatility, correlation, mean reversion rate, etc. as appropriate), determining statistical significance of the results, and implementation and enhancement of Monte Carlo energy price simulation models and methodologies including balancing requirements for model accuracy, speed, and flexibility.
  • Model Validation: Perform review of models developed by Front Office quant team and other sources as needed and the key risk models developed by Mid Office quant team.
  • Portfolio Risk Management: Compute portfolio risk using time-to-expiration Value-at-Risk methodologies. Understand complex portfolios composition and discern and report on portfolio risks. Such portfolios may include a variety of physical assets (such as  manufacturing plansts, storage) and a number of financial instruments (such as fixed strike options, floating strike options, tolling options on two commodities, Asian options, fixed-for-floating swaps, other types of exotic and real options).
  • Stress Testing: Perform stress tests to determine portfolio level impacts on  procurement costs.
  • Hedge effectiveness analysis: Assess and report on the effectiveness of hedging strategies and programs.
  • Projects: Provide leadership in completing projects related to implementation of quantitative models and risk systems

Qualifications

 

Required

  • Degree in Financial Engineering, Mathematical and Computational Finance, Physics, Statistics, Mathematics or other quantitative discipline
  • 3+ years of programming experience in VBA, Matlab, SQL, and relational database
  • Ability to work as part of a team and independently with multiple projects under tight deadlines
  • Excellent written and verbal communication skills

Desired

  • Advanced degree in Financial Engineering, Mathematical and Computational Finance, Physics, Statistics, Mathematics or other quantitative discipline
  • 3+ years relevant experience mathematical and computational finance, preferably hands on in quantitative market risk management of portfolios with energy commodities transactions involving valuation and risk assessment of embedded derivative, such as swaps, options, swaptions, Asian options and other relevant exotic options.
  •  Energy  experience

To apply: Please send resumes to greenleafrecruiter@yahoo.com

When you apply, please mention that you saw this job on jobs.phds.org
Recruiter:

POne of our nice focus areas  is Quantitative Anlyis, , Risk management and Finanical Analysis, in Banking Investment, Energy, and Helathcare

Ref Code: GL002
Job Type: Employee
Sector: Quantitative finance
Salary: 110K-140K
Hours: Full time
Categories: Quant Jobs for PhDs, Quantitative Analyst Jobs for PhDs, Model Validation Jobs for PhDs, Risk Modeler Jobs for PhDs, Risk Analyst Jobs for PhDs, Derivatives Jobs for PhDs, Mathematics Jobs for PhDs, Physics Jobs for PhDs, Statistics Jobs for PhDs
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