Model Validation Quantitative Analyst

Job Profile SummaryIn Trading & Shipping (T&S), our purpose is to power and navigate a constantly evolving world. We’re always striving for more innovative digital solutions, sustainable outcomes and closer collaboration across our company and beyond.Job AdvertModel Validation Quantitative AnalystLocation: London Canary Wharf 3 days. Home working 2 daysThe Model Validation Team sits within Finance, T&S and provides effective assurance of quantitative models used in T&S, through delivery of independent model validations. Our validation activities range from core valuation models used for derivative pricing, to validation of models used in the derivation of price/parameter input curves. The team’s operations span across Singapore, London, Chicago and Houston, covering T&S’s global Gas, Oil and Power trading activities.As a quantitative analyst you will be responsible for delivering practicable validations to models of various complexity. The role involves the development of reference valuation models, statistical/time-series data analysis and model parameter estimation and offers regular interaction with risk teams, traders, technology teams and front office quants at all levels and across all regions. Key accountabilitiesPerform efficient and effective validation of internal and third-party models.Provide technical advice to commercial and control functions on the representation, valuation and risk measurement of deals involving optionality and/or illiquid assets.Work closely with model users & developers to support and guide best practice for the mitigation of model risk within T&S.Implement cross-commodity derivative valuation frameworks in bp’s proprietary risk quantitative library, including new algorithms for stochastic process simulation, stochastic dynamical program solvers and calibration methodologies.Employ modern software development practices for maintaining model correctness and performance.Essential education:Undergraduate degree, plus PhD or MSc in a quantitative subject area, (e.g. physics, mathematics, electrical engineering or mathematical finance).Essential experience and job requirements:Practical experience of:Financial derivatives valuation methodologies and the fundamentals of trading including familiarity with financial instruments and physical assets.Stochastic calculus, probability theory and Levy processes, and associated numerical methods for their practical implementation, including advanced Monte Carlo methods, transform techniques and PDEs. To include local and stochastic volatility, jump and regime-switching models.Dependency modeling, including copulas, cointegration and local correlation approaches.Pricing in illiquid, incomplete markets. To include utility function-based approaches.Optimization, stochastic control, stochastic dynamical programming and numerical linear algebra.Implementing advanced numerical algorithms.Practical methods of estimating computational complexity and expected algorithm performance.C++ 17 and or Python 3 programming languages, plus third-party libraries, including Boost, MKL, pybind11, NumPy and Pandas.Strong communication skills, with the ability to articulate complex issues clearly and succinctly to a range of audiences. Ability to work autonomously, set priorities and measure and anticipate problems to drive completion of projects.Strong interpersonal and networking skills. Desirable criteriaKnowledge of US, UK and European Natural Gas markets, power, crude oil and refined products, LNG, environmental products and FX. Familiarity with the general principles of risk measurement and market risk metrics, including VaR and Expected Shortfall.Model Validation experience.We are an equal opportunity employer and value diversity at our company. We do not discriminate on the basis of race, religion, colour, national origin, sex, gender, gender expression, sexual orientation, age, marital status, veteran status, or disability status. EntityFinanceJob Family GroupFinance GroupRelocation availableNoTravel requiredNegligible travelTime TypeFull timeCountryUnited KingdomAbout BPTRADING & SHIPPINGOur purpose is to bring together people, energy and markets to power and navigate a changing world.In a time of constant change and possibility we need new talent to pursue commercial opportunities, fuelled by world-class insight and expertise. We’re always striving for more innovative digital solutions, sustainable outcomes and closer collaboration across our company and beyond, and you could be part of that too. Together we continue to grow as the world’s leading energy trader.Join us and help us achieve these goals by:• developing and continuously evolving a globally diversified portfolio that accesses new markets, commodities and commercial opportunities• collaborating with our business groups to provide innovative commercial and marine solutions that add value to bp’s assets and flows• delivering high-quality earnings and creating an organisation that is swift to identify and optimise market insights• navigating a new era of energy for our planet, by sea• acting with respect and integrity at all times, with the people we work with and the markets we operate in• maintaining a comprehensive, rigorous and holistic risk control framework that ensures we operate in a safe, compliant and efficient way at all times• empowering the deep expertise and leadership of our people

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Job Overview

ID:

728585

Date Posted:

Posted 5 days ago

Expiration Date:

25/12/2022

Location:

Bedmond

Salary:

Competitive

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