Job Description

Description

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Department

The Quant Risk team delivers quantitative analysis to the Risk Group, provides independent assessments of EDF Trading’s pricing models and design, develop and enhance EDF Trading’s Risk Metrics calculations (VaR, PFE, CaR, DV01 …).

The department is organised into 2 teams, one team responsible for implementing EDF Trading’s model validation framework and one team in charge of EDF Trading risk metrics calculations.

Position purpose

You will be a member of the Risk Metrics team, responsible for developing EDF Trading risk metrics tools

  • Responsible for designing, developing, and maintaining EDF Trading’s quantitative risk metrics calculations (VaR, PFE, CaR, DV01 …)
  • Work collaboratively with Market Risk, Credit Risk, Risk IT, the Quant Team, Treasury, and IT to deliver enhancements to EDF Trading Risk Metrics calculations and prepare EDF Trading’s risk metrics platform for the future
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