Coni + partner, established 1993, is a consultancy company with headquarters in Zurich and subsidiaries in Düsseldorf and Shanghai. We are specialised in custom-fit staffing in tune with the corporate culture by ensuring a perfect match of professional skills, references and personal as well as social skills of successful candidates.
Our client is the asset management division of an international bank in Zurich. We are searching for a tax specialist (m, f, d) for the fund business as
Senior Quantitative Analyst Power & Gas Pricing
Aufgaben
Further developing of energy valuation models for models involving physical assets and structured energy
Analysing the value of physical assets with techno-economic parameters (power plants, lifespans, costs) and structured energy products such as tracker certificates, barrier reverse convertibles (BRCs), knock-out warrants, (swing) contracts (e.g. price volatility, volume constraints)
Apply key valuation methods, such as static time value curves, stochastic models, Least Squares Monte Carlo simulations, Monte Carlo simulations, stochastic dynamic programming (SDP) or the discounted cash flow (DCF) method
Development of stochastic models for power and gas price as well as for market and price trends
Calibrating models using market and fundamental data to bridge the gap between theoretical mathematics and real-world forecasts and pricing, as well as backtesting of models using historical market and operational data
Supporting for trading and risk management through ad hoc calculations and collaborate with different stakeholders
Qualifikation
Ph.D. in Mathematics or Engineering
Relevant professional experience in the power or gas market
An understanding of the behaviour of physical assets and knowledge of financial derivatives and structured products
Knowledge of financial mathematics and expertise in optimization, deterministic and stochastic modeling, and Monte Carlo simulation methods
Knowledge of structured products and financial derivatives in the energy market
Programming skills in Java, Scala, C++, Python, SQL, VBA, etc.
Analytical mindset with attention to detail
Team-oriented and good communication skills
German and English
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