159 days ago on careers-cci.icims.com

Quantitative Portfolio Optimizer

Castleton Commodities International

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Quantitative Portfolio Optimizer

Quantitative Portfolio Optimizer

Job Locations CH- Geneva
Category Research / Analysis
Type Regular Full-Time

More information about this job:

Overview:

CCI’s European structured gas desk focuses on structuring and trading around a portfolio of complex deals with embedded flexibilities (e.g. gas storage, transportation, gas supply contracts, cross-commodities structures...). The team, which relies heavily on quantitative analysis and bespoke software for their day-to-day pricing, optimization and risk management activities, is now in the process of expanding our scope both in terms of structures coverage and geographical reach.

 

By contributing to the identification of the best portfolio growth opportunities and the execution of the most profitable optimization/hedging strategies, and delivering the pricing/optimization tools needed tostructure, value and manage complex contracts the Quantitative Portfolio Optimizer is expected to be a key contributor to the commercial success of the desk. While initially this role will have a strong focus on quantitative modeling, it offers the opportunity to move into a trading role over time.

Responsibilities:

  • Supporting the Structured Portfolio Manager in executing the physical portfolio optimization and hedging strategies, with a direct involvement into short-term trading, optimal dispatching of all flex/storage/transport contracts and portfolio balancing in liaison with Ops,
  • Assisting the Structured Portfolio Manager in identifying and generating new high margin structures that improve the risk/reward ratio of the portfolio, working on related transactions (deal structuring and valuation, risks assessment, internal/external communication …),
  • Development a suite of robust, efficient and user-friendly tools for the valuation, optimization and risk management of a wide range of structures (improving the existing framework and extending tonew assets/structures), performing research in connection with price models and valuation techniques to stay on top of industry trends,
  • Continuous improvement ofoptimization and risk management (Greeks) strategies
  • Refining fundamental views on the market via quantitative/statistical analysis of prices, flows and market participants’ behavior.

Qualifications:

  • Minimum of Master’s Degree in Mathematics, Physics, Computer Science (or any other relevant quantitative subject) or a diploma from a Top Tier Engineering school.
  • 1.5+ years in a quantitative analysis role with exposure to designing and coding mathematical models for pricing and risk-management of exotic derivatives/real options (ideally in a Top tier energy trading desk), and is now looking to leverage their experience in a more commercial role.

*LI-LH1

 

All qualified applicants will receive consideration for employment without regard of race, color, religion, sex, sexual orientation, gender identity, national origin, disability or veteran status.

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