Quantitative Risk Manager

Quantitative Risk Manager

Centrica Energy Trading

Aalborg, Denmark

As a Quantitative Risk Manager, you will be part of the TQR (Transaction and Quantitative Risk) team, which oversees Model Validation as well Quantitative Model Development for the whole Risk Function.

You will ensure a high level of motivation, professionalism and knowledge within the TQR team and support the Head of TQR.

What you’ll be doing:

• Advise upon, and contribute to, ongoing model development for valuation and risk measurement, carrying out reviews and validation of Front Office models for a constantly evolving and increasingly sophisticated set of products;
• Directly contribute to the design, construction and implementation of Risk models (e.g. Market Risk, Credit Risk and Liquidity Risk models such as Value at Risk, Profit at Risk, PFE, CVA/ DVA and Variation Margin at Risk models) to help us on our journey of continually improving our risk modelling capabilities and provide valuable analysis and insights to the business;
• Work effectively with Quantitative Analysts, Traders & Originators;
• Communicate the results of analyses clearly, including to senior management, in a way which adds significant value to business decisions;
• Stay updated on industry best practice and emerging trends in quantitative finance and risk modelling.

We have a few must-haves:

• Educational background within a highly quantitative subject (Mathematics, Quantitative Finance, Economics, Sciences, Engineering or similar);
• Ability to review and validate complex models;
• Excellent modelling and related programming skills (e.g. exposure to Python or similar), with the ability to build complex models;
• Good understanding of quantitative finance and related risk issues, coupled with a strong practical, and business focused, approach to modelling, valuation and risk management;
• Ability to work under pressure and to tight deadlines in a trading-related Risk environment;
• Understanding of the energy commodity markets;
• Ability to communicate complex issues in a clear, understandable manner with the front office quantitative analytics team, traders, originators, asset developers, finance, Risk and other teams;
• High attention to detail in both numerical analysis and written work;
• Strong team working and influencing skills with the ability to objectively and constructively challenge proposals for new modelling and transactions, whilst maintaining good working relationships;
• Strong appetite for practical and high-quality problem solving in a fast-moving commercial environment.