Quantitative Risk Analyst

  • Competitive Remuneration Package
  • Edinburgh, Scotland, United Kingdom
  • Permanent, Full time
  • Meraki Talent
  • 03 Oct 17 2017-10-03

Meraki Talent’s privately held Global Power Generation firm are seeking a Quantitative Risk Analyst to their growing function based in Edinburgh. The Quantitative Risk Analyst role falls within the wider Risk Management function. The function manages the market, trading operational and credit risks that the firm is exposed to.

Responsibilities of the Quantitative Risk Analyst:   

  • Preparation and review of the data feeding into the Risk Reporting pack (collation of reports, breaches etc) covering the global portfolio
  • Ensure integrity and accuracy of the data and underlying assumptions
  • Run and maintain the risk model (in-house or external) to provide good quality data for the risk reporting
  • Undertake regular review of results & effective back-testing of the risk model
  • Communicate to stakeholders to ensure confidence in the model and use within the business
  • Maintain model inputs in line with latest data for generation assets and contract data
  • Develop risk model (in-house, or with third party provider) to keep in line with business requirements
  • Provide quantitative analysis (and be able to describe business application) for ad hoc valuation projects across the business, with the focus on the ability to value optionality
  • Where existing models are not suitable, develop ad hoc models to meet stakeholder requirements
  • Ensure complete documentation requirements as defined by line/ project manager
  • Maintain a formal library of quantitative models, with associated documentation, audit trails, testing and explanatory notes & procedures, to be used as the basis for future valuations
  • Maintain business focus and relevance of material when presenting findings to stakeholders
  • Production of monthly forward curves
  • Review of daily market reports
  • Identify business process improvements in all areas of responsibility, with a particular focus on transaction based activities
  • Utilise technical expertise (coding) for automation to identify/ deliver solutions in relation to the opportunities identified above

Background of the Quantitative Risk Analyst:

  • Experience in quantitative risk analysis
  • Excellent skills in Excel, VBA, C++ and quantitative modelling
  • Solid mathematical background (at least degree level) with an understanding of stochastic calculus and matrix mathematics desirable
  • Ability to develop risk models for business use
  • Strong abilities in interpreting information
  • Knowledge and experience to form good assumptions
  • Ability to communicate and present reasons for assumptions (formulating compelling business cases)