Luke Almond
Lead Consultant
Luke Almond
Lead ConsultantAbout the Role
We are seeking a skilled Model Validation Quant to join a top-tier energy trading firm in Switzerland. This role will focus on validating, implementing, and enhancing commodity pricing and front office models, ensuring their robustness and effectiveness for trading and risk management purposes. The successful candidate will work closely with traders, risk managers, and other quants to support model users and enhance volatility tools.
Key Responsibilities
Model Validation & Implementation:
• Validate and implement commodity pricing and risk models, ensuring accuracy and alignment with market conditions.
• Develop and enhance methodologies for pricing complex energy derivatives and structured products.
• Work with front-office and risk teams to ensure models are fit for purpose.
Volatility Tools & Risk Analytics:
• Develop and improve volatility modelling tools for commodities.
• Enhance model calibration techniques and assess their impact on risk measures.
• Work with traders and risk teams to refine and stress-test market volatility assumptions.
Model Governance & Documentation:
• Ensure models adhere to regulatory and internal governance requirements.
• Maintain thorough documentation of model development, validation processes, and assumptions.
• Present findings to senior management and model risk committees.
Support & Collaboration:
• Assist model users in understanding and applying models effectively.
• Provide quantitative expertise to trading, risk, and IT teams on model-related issues.
• Work on continuous model performance monitoring and improvements.
Key Requirements:
• Advanced degree (MSc/PhD) in Mathematics, Quantitative Finance, Physics, or a related field.
• Strong experience in model validation, quantitative modelling, or risk analytics within energy/commodity markets.
• Proficiency in stochastic calculus, numerical methods, and derivatives pricing.
• Solid programming skills in Python, C++, or similar languages for model implementation.
• Experience with Monte Carlo methods, PDE solvers, and statistical modelling.
• Knowledge of energy trading and commodity market structures.
• Strong communication skills to interact with traders, risk teams, and senior stakeholders.
Key Responsibilities
Model Validation & Implementation:
• Validate and implement commodity pricing and risk models, ensuring accuracy and alignment with market conditions.
• Develop and enhance methodologies for pricing complex energy derivatives and structured products.
• Work with front-office and risk teams to ensure models are fit for purpose.
Volatility Tools & Risk Analytics:
• Develop and improve volatility modelling tools for commodities.
• Enhance model calibration techniques and assess their impact on risk measures.
• Work with traders and risk teams to refine and stress-test market volatility assumptions.
Model Governance & Documentation:
• Ensure models adhere to regulatory and internal governance requirements.
• Maintain thorough documentation of model development, validation processes, and assumptions.
• Present findings to senior management and model risk committees.
Support & Collaboration:
• Assist model users in understanding and applying models effectively.
• Provide quantitative expertise to trading, risk, and IT teams on model-related issues.
• Work on continuous model performance monitoring and improvements.
Key Requirements:
• Advanced degree (MSc/PhD) in Mathematics, Quantitative Finance, Physics, or a related field.
• Strong experience in model validation, quantitative modelling, or risk analytics within energy/commodity markets.
• Proficiency in stochastic calculus, numerical methods, and derivatives pricing.
• Solid programming skills in Python, C++, or similar languages for model implementation.
• Experience with Monte Carlo methods, PDE solvers, and statistical modelling.
• Knowledge of energy trading and commodity market structures.
• Strong communication skills to interact with traders, risk teams, and senior stakeholders.