Key tasks and responsibilities of the Quant team
- Modeling and simulating energy and commodity prices and price curves and the underlying price drivers (such as demand, supply, and weather (sun, wind, temperature, etc.)) used, among other things for:
- The creation of curves used in the MtM determination of trading books.
- Input for Market Analysis.
- Input for pricing models used by Structuring and Origination.
- The optimization of assets or the valuation of potential assets.
- Developing software to automate models and tools using advanced programming techniques and cloud computing.
- Developing and maintaining Pricing Models for the pricing of Electricity contracts, Gas contracts, and Wind and Solar PPAs.
- Developing and maintaining Asset Valuation Models that make use of internal fundamental stochastic price simulation models.
- Developing and maintaining forecasting modes for the entire trading horizon (Imbalance, Intraday, DA, Monthly, Quarterly, and Yearly contracts).
- Developing machine learning models to be used in different tasks and departments, such as:
- Post-processing of DA price forecasting signals.
- Load forecasting models
- Classification model and error detection models
- Wind and/or solar power forecasting models
- Responsible for the dissemination, visualization, and correct usage of the outputs of the Analytics models by other departments.
- Producing price Analysis based on the result of proprietary Fundamental, Econometric, or Machine Learning models.
- Producing trade advice for the different trading horizons. Process and organize trade advice so as to observe the risk/return profile of trade, its correlation with other trades other metrics using Power BI as a GUI.
- Performing Strategic Analysis based on the results of long-term models. Using the latter to prepare Position Papers, advise the RvB or other departments.
Expectations:
- At least 3-5 years of experience as a Software/Quant Analyst/Developer
- Essential skills:
- Ability to apply econometric/mathematical models, methods, and techniques.
- Ability to use (big) data analytics and "machine learning" methods and techniques.
- Excellent programming skills in Matlab or Python.
- Proven ability to work on multiple projects and ad-hoc requests at the same time
- Advantageous skills:
- Financial portfolio management and financial quantitative methods and techniques.
- Thorough knowledge of and experience in (quant) software architecture and development.
- Experience in Matlab cloud, OOP, CI/CD, PowerBI, Microsoft Azure, and Databricks.
- Proven ability to mentor and guide others