Principal Quantitative Analyst

The Quantitative Engineering departmentis responsible for the valuation of the entire trade portfolio in EDF Trading. The group is business focused and prides itself in being subject matter experts across all the areas we contribute in: be that business knowledge, mathematical models for pricing, tooling for trading management or highly scalable performant computational services.Within Quantitative Engineering, the Quantitative Analytics group is responsible for research and implementation of market and product mathematical models.Online job listingsPosition purposeMaintain and expand our existing library of valuation and risk-management models. Identify and implement possible enhancements. Recommend and develop new models. Provide methodological support to trading desks and other teams.Main responsibilitiesCalibration/estimation of parameters of market price modelsBack-test current market or product models and recommend improvementsGather business requirements for the development of new modelsUndertake appropriate basic research leading to the development of prototypes, analyse possible or necessary approximations and determine the most appropriate approachImplementation intoEDF Trading’svaluation engine, working closely with the Quantitative Development team to ensure seamless integration, and documentationAdvise traders and structurers on methodologies and explain models’ behaviourMentor junior members of the quant group.This list is not exhaustive and may include other tasks assigned by the manager.Experience requiredThe ideal candidate would have:A minimum experience of circa 10 years in a similar environment (energy trading house, energy trading desk of an investment bank)Exposure to complex structured commodity deals (physical and financial). Of particular interest are power purchase agreements and renewable energy productsExperience with large-scale software projects, notably trading and pricing systemsTechnical requirementsGraduate qualification in a quantitative subject (Maths, Physics, Engineering) combined with a postgraduate degree in Mathematical Financeor similarDeep understanding of option pricing theory and associated numerical methods (Monte Carlo)Knowledge of numerical optimization methods (linear programming, dynamic programming)Theoretical and practical knowledge of energy markets and associated complex derivatives productsGood programming skills (C++, Python): able and willing to write clear and effective code.Person specificationStrong analytical and problem solving skillsStrong attention to detailAble to initiate and carry out model researchGood communication skills, ability to communicate complex issues to non-specialist audiencesCapable of thriving in a fast paced trading environmentDesire to work within a collaborative, team-driven environment.Please note that if you are NOT a passport holder of the country for the vacancy you might need a work permit.

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