Senior Quantitative Risk Analyst
With your quantitative expertise and programming skills, you will perform model validations, develop your own risk models, and answer business and top-management questions.
Tasks and responsibilities:
- Model validation of valuation and risk models which are used throughout the entire business, including autonomous trading algorithms
- Conception, development, implementation and execution of models for risk measurement beyond traditional value-at-risk calculations to cope with the complexity of the Vattenfall portfolio
- Methodological and operational responsibility of the validation processes for non-standard price and risk models
- Liaise with and support colleagues from business, group functions and within Risk on a regular basis with respect to the risk methodology
- Provide expertise in the field of risk response methodologies and practical applications (hedging, portfolio effect, etc.)
- Ability to analyse real-world problems by means of quantitative models and translate model results back into a broader context
Qualifications:
As (Senior) Quantitative Risk Analyst, you will bring practical experience in quantitative modelling, strong skills in programming (Python and/or Matlab) and ideally some practical experience within the energy industry, especially energy trading.
Ideally, you will have:
- A university degree within a relevant area (economics, mathematics, etc.)
- Approx. 5 years of work experience
- Good understanding of quantitative finance and economics and related risk management principles
- Ability to work independently
- Strong interpersonal skills with the ability to communicate with commercial/technical colleagues and stakeholders alike
- Team player with an analytical mindset and personal balance of pragmatism and creativity
- Ability to explain complex content in a comprehensive format
