Lead Products Quantitative Risk Modeler
Core
Develop, validate, and maintain quantitative valuation and risk management models for Oil Products markets (Gasoline, Jet Fuel, Heating Oil) and support Trading Strategies, Real Options Valuation, and Forward Curve simulations.
Role type
Lead Quantitative Risk Modeler (Energy Commodities)
Builds
Quantitative valuation models, risk management models, hedging strategies, and stress test methodologies for Upstream Gas & Power and Downstream Crude & Products trading.
Domain
Energy & Chemicals (Oil Products, Power, Natural Gas, LNG)
Deliverable
production ML models | product features
Required skills
Advanced statistical analysis, option theory (Greeks), Monte Carlo simulation, mathematical optimization, Python/R/MATLAB/SQL, energy commodity market knowledge, structured deal analysis, volatility and correlation modeling
Preferred skills
ETRM systems (Endur, Allegro), Tableau, Credit Risk Modeling
Technologies
Python, R, MATLAB, SQL, Endur, Allegro, Tableau
Responsibilities
Develop and validate quantitative valuation models for Oil Products markets; Conduct quantitative analysis of structured deals to support asset valuations and design hedging strategies; Apply advanced statistical analysis to scenario analysis and stress test methodologies; Model and estimate volatilities and correlations; Provide recommendations for enhancement of risk management models; Communicate complex risk topics to Management, Traders, and Risk Management.
Seniority
Senior, hands-on IC
