Over 20 years in Derivatives Trading and Managing Risk of numerous Energy complex products and markets including Oil (swaps & options) Fuel Oil (paper & physical)Power, Nat Gas, Co2 ....
Proven track record of generating Profits and increasing revenue while diagnosing, assessing and developing Risk
Management Solutions in all segments of the Energy value chain

Presently employed as a director with an equity L/S Market Risk team looking for a pure front office risk role on a small team. Ideal job would be working on hedges, stress testing, risk analysis etc within an equity long short space. MS Financial Engineering strong vba/matlab some c# and a working sql knowledge.

Responsibility:

Apply advanced quant techniques to research & design risk measurement methods; development VaR, Stress Test, Factor model analyses; implement risk measurement methods; implement risk mgt plans & procedures at portfolio & security levels; build math models to measure risk; conduct comp simulations to assess risk; apply option pricing theory; implement sys for measuring risk for futures, fixed income securities, credit derive products; construct & implement proprietary risk indicators; model complex financial products to calibrate risk; improve accuracy & efficiency of risk models; lead risk report development projects to automate daily report production & reduce development cycle of new reports; build proprietary VaR models; implement option analytics; build CDS analytics; prep liquidity & interest rate risk analyses & report packages; prep analyses of risk based capital & net interest margin; development counterparty risk analysis tools; construct financial models & algorithms to measure risk profile of portfolios;


Requirements:
Master's degree in math, physics, computer science or other quantitative fields;
Proficient with Excel, VBA, SQL; MATLAB or C, C++, C#;
3 months experience in job offered.

Our client a Global Investment Bank is looking to add a Senior Desk Quant to join their highly talented and rapidly growing team.



The Senior Desk Quant will be offered an exceptional training program and have market leading career progression for the right candidate.



The successful candidate will:



· Have knowledge of working on the stochastic volatility LIBOR Market Model (LMM)

· Develop model-based analytical formulas for CMS products

· Develop lower bound and upper bound approaches for LMM to handle the pricing of callable LIBOR exotics

· Support for IR Exotic Trading Desk

· C/C++ coding with emphasis on numerical methods

· PhD or equivalent degree from top tier schools/programs in Math, Math Finance, Physics, or Engineering

This is a multidisciplinary group of quantitative experts focusing on exotic derivatives modelling across all product areas with a significant presence in London, Tokyo and Hong Kong.

Please apply directly to quantexotic@selbyjennings.com, +44 (0) 207 019 4137, www.selbyjennings.com