Quantitative Risk Manager (all) 80-100%

Olten, Solothurn
Unbefristet
Vollzeit

20 Tage her

Location: Olten/Lausanne (CH) or Prague (CZ)To strengthen our Quantitative & Model Risk team, we are looking for a Quantitative Risk Manager to advance the mathematical modelling of our key risk indicators and ensure that non-linear effects and non-price-related risks are properly considered. Reporting to the Head of Quantitative & Model Risk, you will develop and implement key risk indicators used for market risk management, set up simulations for the future evolution of relevant risk factors, and contribute to model risk management by validating valuation models built by the Front Office.Your main responsibilities

Developing and advancing key risk indicators that reflect all relevant risk factors for energy-related transactions, including price, volume and non-linear effects
Implementing mathematical and statistical models for the purpose of measuring non-linear risks via full revaluation
Performing model validation for valuation models developed by the Front Office
Designing and maintaining consistent, correlated simulations of relevant risk factors (e.g. price and weather variables)
Integration of the developed key risk indicators and models into the Alpiq risk infrastructure from a conceptual and technical perspective together with the team

Your profile

MSc., ideally complemented by a Ph.D., in Mathematical Finance, Mathematics, or a related quantitative field
At least 2 years of relevant experience in building valuation models, risk models or similar quantitative frameworks
Strong knowledge of stochastic calculus
Experience in simulating price diffusions
Practical understanding of derivative pricing
Solid programming experience in Python, including Pandas and NumPy
Knowledge of relational database design, SQL and Oracle
Experience with GitLab or similar version control tools
Knowledge of power and gas markets and products and understanding of core risk management concepts is a plus
Experience with machine learning concepts (e.g. neural networks, reinforcement learning) is an advantage
You appreciate working in a team of risk managers with different backgrounds

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