lead model validation quantitative analyst | budapest

randstad hungary
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job category
job type
reference number
30800 / 32446
randstad hungary
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Cégleírás / Organisation/Department

Our global energy business partner is looking for a Lead 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. 

Pozíció leírása / Job description

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 the 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
  • Supervise and coach less experienced analysts in the team.

Elvárások / Requirements

What You will need to be successful:
Essential education:

  • 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 models.
  • 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 and Python 3 programming languages.
  • Experience with third-party libraries such as Boost, MKL, pybind11, NumPy and Pandas would be preferred.
  • Knowledge of Natural Gas markets, power, crude oil and refined products, LNG, environmental products and FX.
  • Ability to lead initiatives, influence and participate in decisions and collaborate effectively with commercial and functional partners.

Amit kínálunk / Offer

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

Kapcsolattartó / Information

Rác Ildikó - ildiko.rac@randstad.hu

Schmidt Nóra - nora.schmidt@randstad.hu