Within this role, you will work closely with the Front Office and Portfolio Teams, providing technical advice to Commodity Risk on the representation, valuation and risk measurement of deals involving optionality and/or illiquid assets. A key responsibility will be to provide technical advice to the risk methodology and a deep understanding of different MVaR methodologies, Marginal MVaR, historical/hypothetical scenario analysis, trends risk metrics and long-term risk
To be considered for this role, it is essential you have worked within a Market Risk/Pricing Model Quantitative role previously, with expert levels of coding in Python and C++. You will have a deep understanding of modelling of risk, including concepts such as Exponential Weighted Moving Average volatility, Cholesky decomposition, Monte Carlo simulation and Geometric Brownian Motion and the ability to understand the impact on these assumption to the way risk is expressed and its link to actual portfolios/markets. It is preferable that this experience has been obtained at a Commodity Trading House, but the client will also consider candidates from Investment Banking.
If you match the set criteria, please send your CV to Elizabeth.firstname.lastname@example.org
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