Lead Quant Developer – Risk

Lead Quant Developer (Risk)
Risk & PnL
London (Hybrid)

Cititec Talent is working with a global trading and investment firm which has decades of experience in the physical and financial energy and commodities markets. They help clients navigate complex, evolving markets to maximise returns while managing risk effectively. The company offers a broad range of services to a diverse client base, including corporates, financial institutions, governments, and individuals. Headquartered in the US, it has a presence in major financial centres worldwide and is privately owned by senior leadership and strategic investment partners.

Role Overview:
The firm is seeking a highly skilled and experienced Lead Quant Developer – Risk and PnL to join its team. This role sits at the intersection of quantitative finance and technology, playing a key part in enhancing the organisation’s modelling capabilities in the areas of risk and PnL. The successful candidate will collaborate with trading, risk, and tech teams to build and maintain robust, scalable models and drive innovation in analytical methods.

Responsibilities:

• Lead the development and enhancement of Risk and PnL models, particularly focusing on Value at Risk (VaR), with an emphasis on Historical VaR.
• Research and implement advanced risk methodologies, including factor-based models and scenario analysis.
• Optimise and maintain existing VaR-related codebases, supporting both linear and options product coverage.
• Build and refine pricing models for commodity derivatives, applying advanced mathematical techniques.
• Develop quantitative risk models factoring in volatility, seasonality, and correlation analysis.
• Work closely with trading and risk functions to improve frameworks and ensure models align with commercial needs.
• Enhance P&L attribution capabilities, ensuring transparency in trading performance decomposition.
• Create and maintain Python-based tools for risk reporting, model validation, and optimisation.
• Provide hands-on model support, ensuring efficient and accurate calculations.
• Operate within a quant development environment embedded directly within the team, not a separate quant function.

Requirements:

• Advanced degree (Master’s or PhD preferred) in Mathematics, Statistics, Financial Engineering, or related quantitative field.
• Minimum of 5 years in a quantitative development, modelling, or risk-focused role within a hedge fund, commodities trading firm, investment bank, or energy company.
• Deep expertise in VaR methodologies, particularly Historical VaR and factor-based models.
• Solid grounding in mathematics, including stochastic calculus, probability, and time-series analysis.
• Commodities risk experience is advantageous, though strong risk expertise from other asset classes is also welcome.
• Familiarity with risk metrics including Greeks, sensitivities, and scenario analysis.
• Experience building or enhancing pricing models for derivatives, including options and structured products.
• Strong Python programming skills with a focus on numerical analysis and data manipulation.
• Ability to review, interpret, and optimise existing models in line with business requirements.
• Strong analytical and problem-solving skills, particularly in the area of risk model development and performance enhancement.

Available as a permanent position, but open to contractors.