The Model Validation Team sits within Finance, T&S and provides effective assurance of quantitative models used in T&S, through delivery of independent model validations. Our validation activities range from core valuation models used for derivative pricing, to validation of models used in the derivation of
price/parameter input curves. The team’s operations span across Singapore, London, Chicago and Houston, covering T&S’s global Gas, Oil and Power trading activities.
As a senior analyst you will be responsible for delivering practicable validations to models of various complexity. The role involves the development of reference valuation models, statistical/time-series data analysis and model parameter estimation and offers regular interaction with risk teams, traders,
technology teams and front office quants at all levels and across all regions.
In this role, You will:
- Perform efficient and effective validation of internal and third-party models.
- Provide technical advice to commercial and control functions on the representation, valuation and risk measurement of deals involving optionality and/or illiquid assets.
- Work closely with model users & developers to support and guide best practice for the mitigation of model risk within T&S.
- Implement cross-commodity derivative valuation frameworks in company's proprietary risk quantitative library, including new algorithms for stochastic process simulation, stochastic dynamical program solvers and calibration methodologies.
- Employ modern software development practices for maintaining model correctness and
Our global energy business partner is looking for a Model Validation Quantitative Analyst
They are working towards delivering light, heat and mobility to millions of people every day and at the same time are committed to help meet the world’s need for more energy while lowering carbon emissions.
- Bachelor’s degree and preferably PhD or MSc degree in a quantitative subject area, (e.g.
physics, mathematics, electrical engineering or mathematical finance).
Practical experience of:
- Financial derivatives valuation methodologies and the fundamentals of trading including familiarity with financial instruments and physical assets.
- Stochastic calculus, probability theory and Levy processes, and associated numerical methods for their practical implementation, including advanced Monte Carlo methods, transform techniques and PDEs. To include local and stochastic volatility, jump and regime-switching
- Dependency modeling, including copulas, cointegration and local correlation approaches.
- Pricing in illiquid, incomplete markets. To include utility function-based approaches.
- Optimization, stochastic control, stochastic dynamical programming and numerical linear algebra.
- Implementing advanced numerical algorithms.
- Practical methods of estimating computational complexity and expected algorithm performance.
- C++ 17 or Python 3 programming languages.
- Experience with third-party libraries such as Boost, MKL, pybind11, NumPy and Pandas would be preferred.
- Strong communication skills, with the ability to articulate complex issues clearly and succinctly to a range of audiences.
- Ability to work autonomously, set priorities and measure and anticipate problems to drive completion of projects.
- Strong interpersonal and networking skills.
Would you like to see how a diverse, multinational company is owning the way in making energy cleaner and better – and how you can play your part in an extraordinary team?
- Competitive salary
- Different bonus opportunities based on performance, wide range of cafeteria elements
- Chill-out and collaboration spaces in a stylish smart and green office environment
- Life&health insurance, medical care package
- Company laptop
- Phone for private usage
- Opportunity to work from home up to 2 days
- Learning and development opportunities
- A company culture where they respect their diverse and unified teams