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Quantitative Risk Analyst (Gas & Power)
Key Responsibilities: Develop and maintain engines for calculating VaR, CaR and PFE. Conduct an in-depth quantitative analysis across the risk and credit functions, ensuring the models and portfolios are performing as intended. Ability to enhance and optimise the Internal ETRM system and developing the quantitative and reporting tools used by the Credit department, Market Risk, Finance and Front Office teams. Validate all front office models (including pricing and valuation models) and exotic deals used for calculating end of day Greeks and MtM covering Gas/Hydro/Pump storages, Power plants, contracts (swing), Options (spread, basket of indices, barrier vanilla), Linear products etc. Experience calculating PFE, EPE and EN
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