Your main responsibilities
1. Developing and advancing key risk indicators that reflect all relevant risk factors for energy-related transactions, including price, volume and non‑linear effects
2. Implementing mathematical and statistical models for the purpose of measuring non-linear risks via full revaluation
3. Performing model validation for valuation models developed by the Front Office
4. Designing and maintaining consistent, correlated simulations of relevant risk factors (e.g. price and weather variables)
5. 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
6. MSc., ideally complemented by a Ph.D., in Mathematical Finance, Mathematics, or a related quantitative field
7. At least 2 years of relevant experience in building valuation models, risk models or similar quantitative frameworks
8. Strong knowledge of stochastic calculus
9. Experience in simulating price diffusions
10. Practical understanding of derivative pricing
11. Solid programming experience in Python, including Pandas and NumPy
12. Knowledge of relational database design, SQL and Oracle
13. Experience with GitLab or similar version control tools
14. Knowledge of power and gas markets and products and understanding of core risk management concepts is a plus
15. Experience with machine learning concepts (e.g. neural networks, reinforcement learning) is an advantage
16. You appreciate working in a team of risk managers with different backgrounds
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