We are looking for an outstanding Quantitative Researcher to join our Commodities Risk Management team reporting to the Head of Commodities Risk Analytics and Risk Advisory. The Commodities Quantitative Researcher will partner with the risk and investment teams to build Commodity trading, and risk models to help grow the business.
Responsibilities Include:
- Formulate and implement pricing models for complex commodity derivatives and structured transactions.
- Formulate and implement models for risk analysis of commodity products and derivatives, such as methodologies for constructing term structures and volatility surfaces.
- Improve and extend existing risk reporting tools, including risk analysis, P&L attribution, and portfolio construction, with focus on both regular periodic reporting and ad-hoc requests.
- Develop methodologies and procedures to conduct historical and hypothetical stress testing, as well as analysis of the results using standardized statistical metrics.
- Work with Risk Management to configure and calibrate risk systems.
- Apply quantitative methods to solve risk topics, such as estimating market liquidity and liquidation costs.
- Contribute to overall risk management team at BAM in risk analytics, processes, and reporting. This may involve 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.
- Contribute to Global Risk Committee’s understanding of risk drivers and considerations in related markets.
- Work with the technology team to automate, maintain, and enhance integration of research and reporting solutions into the existing infrastructure.
- Work with risk management to onboard new portfolios and products.
Requirements
- 10+ years of experience as a commodities quant, strategist, or quantitative risk officer, at a hedge fund, bank, commodity trading house, or utility
- Strong academic background (masters/doctorate) in quantitative fields such as math, physics, engineering, statistics, economics, or finance.
- Skilled in valuing and modeling physical commodity assets and structured transactions, such as gas or oil storage, power tolls, transmission, etc.
- Skilled in providing quantitative modelling and trading risk support to manage complex financial commodities trading portfolios, including analytics for portfolio optimization and construction.
- Experience with as many of the following commodities (across different geographical locations) as possible: electricity, congestion markets, natural gas, crude oil, oil products, energy assets, agricultural commodities, structured transactions, shipping.
- Experience with seasonality in commodities risk models.
- Strong programming skills in Python and SQL. Must be familiar with numeric libraries such as pandas, numpy, etc.
- Strong problem-solving skills.
- Enjoy working in a collaborative environment and able to communicate complex ideas clearly.
Nice to have
- Advanced Python knowledge including management of virtual environments, release process, or multi-processing
- Experience developing Plotly Dash dashboards and other data visualization tools
- Experience working at a hedge fund or other asset management firms with exposure to systematic futures strategies or factor model analytics.
- Experience with fundamental modelling.
- Experience with factor analysis, PCA, decomposition models for P&L and risk, machine learning