AVP​/VP Commodities Quantitative Analyst

Quantitative Analyst

This role supports the Commodities business in Houston, TX.

The team is charged with providing quantitative support for commodities trading, structuring, and origination of transactions globally.

The team’s core mandate is to provide pricing methodologies, hedging strategies, risk management, and analytics development.

This role works closely with trading, structuring, IT, risk management, finance, and other control functions to develop and provide a better understanding of Risk and P&L and add value to the business.

Key responsibilities include:

• Responsible for providing the analytical models used for pricing assets and/or securities and managing the risk of the company’s positions throughout all of the core businesses.
• Research into the mathematical derivation of the model through the coding, testing, and documentation of the model for formal validation signoff.
• Delivering the model both to the desktop and to the Technology group for incorporation into the company’s books and system of record.

• Development of pricing, calibration, and hedging methodologies for commodities transactions
• Implementation of pricing and risk models in the Front-Office Analytics library
• Development of quantitative investment strategies for the commodities business
• Building desk tools for P&L, hedging analysis, stress-testing in Python/Excel
• Development and maintenance of the in-house C++ analytics library.