Model Validation Quantitative Analyst (x)
Would you like to discover how our diverse, hardworking people are leading the way in making energy cleaner and better – and how you can play your part in our world-class team?
Join our team as a Model Validation Quantitative Analyst
The Model Validation Team sits within Finance, Trading&Shipping and provides effective assurance of quantitative models used in T&S, through delivery of independent model validations. Our validation activities range from core valuation models used for derivative pricing, to validation of models used in the derivation of price/parameter input curves. The team’s operations span across Singapore, London, Chicago and Houston, covering T&S’s global Gas, Oil and Power trading activities.
As a quantitative analyst you will be responsible for delivering practicable validations to models of various complexity. The role involves the development of reference valuation models, statistical/time-series data analysis and model parameter estimation and offers regular interaction with risk teams, traders, technology teams and front office quants at all levels and across all regions.
In this role, You will:
- Perform efficient and effective validation of internal and third-party models
- Provide technical advice to commercial and control functions on the representation, valuation and risk measurement of deals involving optionality and/or illiquid assets
- Work closely with model users & developers to support and guide best practice for the mitigation of model risk within Trading&Shipping
- Implement cross-commodity derivative valuation frameworks in bp’s proprietary risk quantitative library, including new algorithms for stochastic process simulation, stochastic dynamical program solvers and calibration methodologies
- Employ modern software development practices for maintaining model correctness and performance
What You will need to be successful:
- Bachelor’s degree and MSc or PhD degree in a quantitative subject area, (e.g. physics, mathematics, engineering or mathematical/quantitative finance).
Practical experience of:
- 3+ years of experience
- Financial derivatives valuation methodologies and the fundamentals of trading including familiarity with financial instruments and physical assets
- C++ 17 or Python 3 programming languages
- Stochastic calculus, probability theory and Levy processes, and associated numerical methods for their practical implementation
- Dependency modeling, including copulas, cointegration and local correlation approaches
- Optimization, stochastic control, stochastic dynamical programming and numerical linear algebra
- Implementing advanced numerical algorithms
- Practical methods of estimating computational complexity and expected algorithm performance
- Experience with third-party libraries such as Boost, MKL, pybind11, NumPy and Pandas would be preferred
- Strong communication skills
- Ability to work autonomously, set priorities and measure and anticipate problems to drive completion of projects
- Strong interpersonal and networking skills
The following could be advantage:
- Familiarity with the general principles of risk measurement and market risk metrics
- Model Validation experience
At bp, we provide the following environment & benefits to you:
- Different bonus opportunities based on performance, wide range of cafeteria elements
- Life & health insurance, medical care package
- Flexible working schedule: home office up to 2 days / week, based on team agreement
- Opportunity to build up long term career path and develop your skills with wide range of learning options
- Family friendly workplace
- Employees’ wellbeing programs
- Possibility to join our social communities and networks
- Chill-out and collaboration spaces
- Assets like phone for private usage and company laptop are provided
Job Family Group: Finance Group
Relocation available: Negotiable
Travel required: Yes - up to 10%
Time Type: Full time
Join us in a crucial time of transition. We are bringing all of our finance and procurement activities for the group into one place, enabling better work.For you this means working with us on:
Compliance – efficiently delivering external reporting requirements to ensure we continue to meet our regulatory obligations in all jurisdictions, supported by robust control environment across all three lines of defence.
Stewardship – laying out a robust finance framework and providing ongoing management of the balance sheet and portfolio execution, supported by effective advocacy to the market.
Performance – facilitating the effective allocation of capital, development of business plans and coordination of business performance interventions to ensure a consistent delivery between strategic aspirations, operational forecasts and delivered outcomes. Furthermore, you will be responsible for value creation through mergers and acquisition-led deals, commercial negotiations and integration of business opportunities.
Transformation – driving digital transformation (centralising, digitising, optimising) across all elements of the finance entity to achieve sector-leading cost-performance.
Experience Level: Senior
Legal disclaimer: We are an equal opportunity employer and value diversity at our company. We do not discriminate on the basis of race, religion, colour, national origin, sex, gender, gender expression, sexual orientation, age, marital status, neurodiversity/neurocognitive functioning, veteran status or disability status. We will ensure that individuals with disabilities are provided reasonable accommodation to participate in the job application or interview process, to perform crucial job functions, and to receive other benefits and privileges of employment. Please contact us to request accommodations.