Head of Quantitative Analytics
As part of Centrica’s new group strategy, Centrica’s EM&T business also has developed a new strategy built around 12 growth initiatives. The goal of the new strategy is to reach a total gross-margin of ~£300m by 2020, incl. an increase of its gross-margin by £100m on top of its BAU (excl. legacy positions).
Quants shall support the delivery of the new EM&T strategy by providing the required quantitative models that support the traders and originators in their decision making and are the basis for pricing and valuing products.
Within this new organisation the Head of Quants will be responsible for the development of pricing and valuation models for all EM&T with the objective to enable the Front Office to make optimal strategic and operational decisions.
- Price new complex assets or structured business
- Select / develop appropriate models for trades
- Advise on key risks and hedging strategies
- Develop pricing models for trading and hedging
- Develop / implement mathematical models to enable growth into new product or markets
- Oversee the refinement of existing models
- Implement pricing models in secure environment
- Build up new products in secure environment
- Optimise code for efficiency
- Portfolio modelling and pricing (all time frames)
- Model tangible & contractual asset portfolio positions (esp. flexibilities)
- Provide optimization algorithms and tools for Front Office and Portfolio Management (especially for risk-return driven portfolio channel steering)
- Price all non-standard products / deals incorporating several risk and portfolio effects (against market (esp. liquid) & portfolio (esp. illiquid markets). Products also include large origination deals as well as (tangible) assets
- Support Origination in financially engineering products
- Support the steering of activities by suggesting benchmark prices
- Develop and calibrate curve models
- Develop and maintain price curve models
- Calibrate models regularly to ensure continuous quality
- Implement price curves
- Build, maintain, and continuously develop a model library
- Set modelling standards and that team adhere to these standards
- Develop and maintain structure of model library
- Continuously develop and improve existing models
- Support definition and development of the digital agenda, especially regarding innovations in semi-automated trading and machine-learning-based decision making
- Calibrate all market models: effects include short-term price and elasticity prognosis as well as mid-term price, volatility, and liquidity models
- Document all quants procedures and methodologies
- Build the appropriate infrastructure and capability to value and optimise assets and contracts with varying degrees of complexity jointly with the Director of P&G Short term & X-border, P&G Curve trading, and the Head of Quants
General business / leaderships skills
- Strong commercial acumen, pro-active, and opportunity seeking in both strategy and execution, within the context of a controlled environment
- Highly numerate with significant experience dealing with numerical complexity
- Robust negotiation skills and leadership skills to get the best out of others
- Effective communication skills at a senior management level and ability to build strong working relationships with other teams across Centrica
- Proven ability in creating, leading, and motivating high performing expert teams and developing and growing talent
- Proven ability to lead and embed change
Content expert quantitative modelling
- Portfolio theory
- Equity and interest rate derivatives, including exotics
- Credit-risk products
- Quant modelling for commodities
- Pricing and hedging of financial products and assets
- Markets with heterogeneous pricings
- Monte-Carlo simulations
- Machine Learning and Data Science with a focus on semi-automated trading
- Solid programming skills in at least some of the following environments: C, C++, Matlab, SAS, S-PLUS/R, Python, Excel
- Preferably a PhD in a strongly quantitative field (Mathematics, Physics, Computer Science), with a focus on energy and finance
- Minimum requirement is a Master’s degree in a strongly quantitative science, preferably in the area of Mathematical Finance, Financial Engineering, or a comparable degree
- Significant experience in quantitative financial analysis
- Experience in energy
- Leadership experience of successfully managing Quants department in energy company with more than 10 Quants
- Formerly employed as a senior Quant or head of a Quants team
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.
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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.