Head of Quantitative Engineering

Department

The Quant Engineering group is responsible for the valuation of the entire trade portfolio of EDF Trading. We are made up of 5 small teams: Quantitative Analysis focusing on traditional pricing with quants classically trained in financial mathematics, Quantitative Development with developers supporting the main derivatives pricing platform, Core Engineering with quant and full stack developers growing the new pricing technology and infrastructure, QA & Release focusing on testing and release management and Derivative Products a highly specialised business support team completing the set up of algorithms, exchange products, curves, Encelade and full deal life cycle support (Trade Capture, Option Exercise, Position, P&L, FX, Risk, Settlement etc). Quant Engineering has the mandate to design and develop a platform that will form the core of EDFT’s enterprise valuation platform valuing all deal types within EDFT’s portfolio including complex derivative structures. The team will require a high degree of technical expertise across a range of technologies and provides advice on a range of analytical technologies. The teams will be responsible for the new direction in service based infrastructure and pricing technology.

Position purpose

The role of the Head of Quantitative Engineering is to enable front office to understand value and risk in the aspirational requirements of a modern trading business. Supporting the three pillars of the trading enterprise Front Office, Risk and Finance to see risk and value across a common platform, producing consistent validated high quality results. Covering both intraday requirements of trading desks and end of day requirements of the enterprise. Managing modern valuation models producing necessary exposures at near real time scales in line with the aspirations of the company.

Main responsibilities

• Manage the Quant Engineering Group ensuring that there is a high quality delivery of pricing models and valuation technology for the EDFT enterprise.
• Support the Business Engage with the business to assist them in understanding and defining their requirements for any systems and tools supported and provided by the group.
• Provide technical advice to the business units by identifying the most appropriate valuation approaches, tools and processes for any given task.
• Coordinate and communicate specific subject matter knowledge to the design and relevance of each project undertaken by the group.
• Stakeholder management and Reporting: Presentation of solution to executive stakeholders. Discussion and refinement of solution with heads of desk, risk and control functions. Engage with primary stakeholders to ensure requirements are adequately captured. Manage the ownership for the multiple delivery the team is responsible for.
• Development Ensure the delivery of any development work is progressing within the agreed timelines. Promote and ensure that the company’s standards and best practices, including, but not limited to, documentation, testing and peer review are being maintained. Monitor the use of appropriate technology, taking into consideration the company’s strategy and recommendations. Ensure the full visibility of work undertaken via backlog of requests. Ensure that the implementation of software engineering best practices and development of high quality code with appropriate test coverage is being followed. Promote the refactoring and enhancement of existing components and solutions in order to standardise and reduce duplication. Ensure detailed documentation is in place for the application/component features being developed. Assist production operations team in testing, rollout and production support. Ability to work in a fast-paced environment.
• Analytics and other front office tools Be able to support and guide the further development of other desktop tools built by the quantitative development team. Ensure that sufficient ownership of the development infrastructure required by the above tools and, whenever possible, the company’s standard toolset for source code repository, continuous build and deployment is adopted. Foster the close working between development teams and the Quantitative Analytics Team (Model Development), ensuring guidance on various technical aspects such as model integration, performance, improvements and tracking issues to deliver highly reliable and highly complex technical solutions is taking place.

Experience required

• Strong experience in a Commodities Quant organisation including energy derivatives pricing models, design and development of valuation libraries and infrastructure, deployment, systems lifecycle management, and infrastructure planning and operations.
• Leadership experience in managing multiple, large, cross-functional teams or projects, and influencing senior level management and key stakeholders.
• Requires exposure to multiple, diverse technologies and processing environments relevant to valuation tasks and the orchestration of these.
• Knowledge of all components of valuation technology stack, business re-engineering principles and processes, and advanced knowledge of financial models and budgeting.

Technical requirements

Required experience:

• Experience on a quant team within a financial institution, ideally in a front office.
• Commodity pricing model development experience.
• Experience interacting with an ETRM / Trade repository building and caching a trade representation for multiple clients to access.
• Good understanding of option pricing theory and associated numerical methods (Monte Carlo).
• Knowledge of numerical optimization methods.
• Previous experience working within a trading operation, preferably energy or other commodity trading, with a full understanding of the trade life cycle would be beneficial.
• Understanding of financial products, preferably including derivative and option products. In addition familiarity with physically delivered commodities is desirable.
• Mathematically minded with some exposure to financial mathematical theory.

Essential technical skills:

• Strong C++ experience / Experience with C++ interop Python in financial applications.
• Working experience with API and backend services deployed to cloud based environment.
• Experience with distributed architecture and modern CI/CD practices.
• Experience with database systems and messaging solutions.
• Source Control Management (GIT).
• Build Management and Continuous Integration.

Desirable technical skills:

• Experience with No SQL key value storage.
• Entity Framework Core experience.
• Test Driven Development.
• C# and .net experience development experience.
• Continuous integration processes, automated test execution and source code management.

Person specification

• Strong credible leader with the ability to challenge, influence and broker agreements.
• Excellent interpersonal/relationship-building skills and able to successfully manage client relationships.
• Strong presentation and negotiation skills plus the ability to articulate complex solutions without losing the audience.
• High quality project management skills with strong working knowledge of project governance, plus risk and issue management.

Hours of work: 8.30am – 5.30pm Monday to Friday