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Quantitative Market Risk Manager


London (UK)

Job type:



We currently have an exciting opportunity for a talented and experienced Quantitative Market Risk Manager within the Energy Marketing and Trading (EM&T) business which is both the trading arm of Centrica Plc – focused on maximising profit from trading gas, power and related commodities – and the intermediary delivering energy from our Upstream and Power Generation teams on one side and British Gas on the other.

The purpose of Centrica’s Risk Function is to help Centrica manage and control financial risk. As part of the EM&T Market Risk Team you will help manage the risk of loss of earnings arising from changes in the value of the EM&T portfolio driven by commodity price changes. The team has primary responsibility for the identification, measurement, control and reporting of commodity price risk.

  • Salary:£120k to £130k dependant on experience + flexible benefits
  • Location: Central London
  • Closing Date: 9th May 2017

The Role

You will play a key role in controlling and reporting risk and continuously developing the function as EM&T grows and transitions to a multi-location trading model. You will continuously be challenged around risk measurement and methodology, processes and procedures whilst having close, daily interaction with the front office and business units across the division. Specifically, the Quantitative Market Risk Manager will

  • Create a strong risk presence and promote risk discussion on the trading floor, alongside building strong relationships across the EM&T business;
  • Provide timely risk insights into the trading portfolio to traders and senior management;
  • Maintain and share strong knowledge of trading portfolios and keep abreast of developments in the energy markets;
  • Quantitatively analyse new deals and identify embedded risks using simulation based modelling and other methods. Author new business reviews and strategic papers, and present the analysis in risk committee forums.
  • Work with relevant business teams to formulate new business and product frameworks and integrate changes into the current policies, processes and systems;
  • Lead analytical reviews and deliver improvements to market risk processes, models and methodologies;
  • Coach and oversee development and work of Market Risk Analysts.

The Person

  • The candidate will be required to have a Doctorate degree (PhD) and Master’s in Mathematics or Physics.
  • The candidate must have a Professional Risk Manager qualification
  • The candidate will have gained substantial quantitative commodity market risk experience within a utility/energy/oil company, with exposure to gas and power markets.
  • The candidate will have worked in organisations that have a global presence in the form of a multi-location trading model.
  • The candidate must have experience of managing a trading floor based market risk team.
  • The candidate must have a strong understanding of risk management of complex energy assets (specifically in Power and Gas) and risk methodologies such as VaR, PaR, Stress Testing and Option valuation theory;
  • The candidate must have experience in implementing valuation and risk models for complex energy derivatives and real assets such as natural gas storage, and power purchase agreements.
  • The candidate must have experience of implementing and running liquidity risk analysis and scenario/stress testing of the portfolio.
  • The candidate must be highly proficient in developing quantitative models using MATLAB and Python programming languages.
  • The candidate will also be required to be proficient in Oracle SQL, and be able to write complex queries to extract data from the risk database.
  • The candidate must have demonstrable knowledge of Machine Learning techniques and methodologies.
  • The candidate must have strong interpersonal skills and ability to interact and communicate at all levels. Experience of presenting to C-Suite executives is a pre-requisite.
  • The candidate is expected to have a strong independent mind in executing responsibilities alongside maintaining effective working relationships across the organisation;
  • The candidate is expected to be have confidence, presence, resilience and determination to succeed in a dynamic and demanding business environment;
  • The candidate must have excellent attention to detail, with good problem solving and root cause identification skills;

The Company

Centrica plc, a FTSE 100 company, has operations in UK, North America and Europe. With 30+ million customer-product relationships, Centrica's vision is to become the leading integrated supplier of energy and related services for its chosen markets and maximise value to shareholders. Centrica's brand names include British Gas, Direct Energy (North America). At Centrica, our purpose is to help people today and secure energy for tomorrow.

PLEASE APPLY ONLINE by hitting the 'Apply' button. Please upload your cover letter and CV as one document.

Applications will ONLY be accepted via the ‘Apply’ button.

To request an update on this role, or if you have any problems uploading your CV please email careers@centrica.com typing ‘Update required: Quantitative Market Risk Manager R9922539’ in the subject title.

Agencies: Centrica operate a preferred supplier arrangement, however if you wish to be considered at the next review session please submit a brief overview of your capability to PSL@centrica.com.

Closing Date: 9th May 2017