A hedge fund with over 100 billion in assets is looking to bring on a VP level Commodities Risk Quantitative Researcher. The firm has grown exponentially over the last two decades into a $15B AUM Multi-Strategy fund.
This is a full team build-out, as they are looking for quant developers to cover research/develop commodities risk models as it relates to North American and European Power and Gas.
Responsibilities for the position include:
- Work directly with traders and PMs to learn their books of business and strategies - building the quant and technical side with pricing/risk models
- Build pricing models and VaR models for commodity trading with a focus on NA power and gas
- Ad-Hoc risk analysis for portfolios that are not commodities-focused or investigation of impact of a commodities-focused portfolio to the overall risk of the firm
- Work with risk management and risk tech to calibrate risk systems, primarily for new products and physical assets
The ideal candidate will have the following qualifications:
- At least 5 years, 10+ preferred as a commodities quant, strategist, or quant risk officer at a physical energy trading firm
- Valuing and modeling physical commodity assets and structured transactions, such as gas or oil storage and pipeline transport
- Strong programming skills in Python and SQL (PANDAS, NUMPY)
- Exp with at least one of the following commodities: electricity, congestion markets, natural gas, crude oil, oil products, energy assets, agricultural commodities, structured transactions, shipping