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  • Job reference: RMS0165870

(Senior) Quantitative Analyst

  • Sector: ICT
  • Location: Staines
  • Job type: Contract
  • Date posted: 10/03/2016
  • Time left:
    d h m s
    (05/04/16)
This vacancy has now expired.
The Role:
The (senior) quantitative analyst will play a leading role in the development, implementation and application of quantitative models for position modelling and valuation of the Rough gas storage and our gas storage contracts:

• Customise/develop and apply quantitative models for the biggest gas storage facility in the UK and for the portfolio of bundled and unbundled gas storage products of our customers. Adopt models to different stock or time based injection and withdrawal rate definitions.
• Liaising with market analysts to capture the dynamic behaviour of important gas storage value drivers (e.g. summer winter spread, forward curve dynamics, spot vs. prompt forward price dynamics).
• Key role for modelling and managing the position mismatch between physical gas storage capabilities and the storage capacity sold to our customers.
• Integrating gas storage models with the main commercial strategies for gas storage operations, marketing of structured gas storage contracts and contribute to the structuring and valuation of new gas storage products.
• Providing analytical support for complex transactions and investment decisions related to gas asset development (offshore installations, gas terminals and treatment facilities, oil condensate operations).
• The role requires programming knowledge in C#.


The Position Management & Analytics Team is part of CSL’s Business Support Department & provides the company with analysis in the following areas:
• Quantitative modelling for the valuation & position management of the Rough gas storage & the portfolio of structured gas storage products of our customers
• Managing & monitoring positions in both the tradable & the non-tradeable time horizon including regular position runs
• Definition of the commercial framework, release of gas storage capacity for sale & definition of rateable benchmarks for value capture and hedging
• Development and implementation of market risk policy & risk reporting
• Assessing investment decisions and complex structured transactions As a member of Position Management & Analytics Team the (senior) quantitative analyst will be focussed on the quantitative modelling and valuation work in these areas.


The main challenges are:
• Develop a good understanding of the business activities and the regulatory framework
• In-depth understanding of spot price and forward curve dynamics, including volatility & correlation term structures, mean-reverting behaviour of seasonal spreads, spot-prompt price differential and co-integration mechanisms with other commodities
• In-depth understanding of valuation concepts used for gas storage & gas swing contracts: Rolling-intrinsic, basket-of-spreads, least-square monte-carlo
• Applying gas storage models in different settings: Day-ahead & intra-day dispatch, asset optimisation & hedging, asset & contract valuation, evaluation of investment projects & complex structured contracts
• Translate quantitative concepts & insights into business strategies and integrate with the our commercial framework
• Teaming-up with commercial colleagues to improve product offering & support related business transformation
• Communicating complex quantitative concepts in an intuitive language in order to gain support from business stakeholders

Essential Skills / Qualifications:
• Advanced degree (master or equivalent) in a relevant subject: Econometrics, quantitative finance, operations research, economics combined with a quantitative (engineering) subject, or similar.
• Programming experience in a quantitative language like Matlab, C# or Python as well as in Visual Basic preferably related to monte-carlo simulation and optimisation models.
• Commodity trading experience preferably related to North-West-European gas or power markets.
• Quantitative modelling experience preferably related to energy asset valuation, hedging and dispatch.
• Candidates having a strong background in commodity trading or quantitative modelling in combination with basic proficiency in the other field will be considered, if the potential to grow into the role is evident. As an example, a candidate with a background in financial industry, who has modelled fixed income instruments / credit portfolios and is experienced in commodity trading, can apply for this role.
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