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Model Validation Quantitative Analyst

Model Validation Quantitative Analyst

  • Location Hungary - Central - Budapest
  • Travel required Yes - up to 10%
  • Job category Finance Group
  • Relocation available Negotiable
  • Job type Professionals
  • Job code 138710BR
  • Experience level Senior
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Job summary

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 through delivery of 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:

Essential education:
  • 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
  • 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
  • Model Validation experience is desirable

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 e.g. extended paternity leave, Mother-baby room
  • Employees’ wellbeing programs e.g. Employee Assistance Program, Company Recognition Program
  • Possibility to join our social communities and networks
  • Chill-out and collaboration spaces in our beautiful Budapest Agora and Szeged offices
  • Assets like phone for private usage and company laptop are provided

bp Hungary won the Most Attractive Employer 2021 Award, based on the PwC annual research. Come and join us!

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