Quantitative Analyst

Job description

The Overview

The Quantitative Analyst will play a leading role in the development, implementation and application of quantitative models for position modelling and valuation of the Rough gas storage and our gas storage contracts:

· Customise/develop and apply quantitative models for the biggest gas storage facility in the UK and for the portfolio of bundled and unbundled gas storage products of our customers. Adopt models to different stock or time based injection and withdrawal rate definitions.
· Liaising with market analysts to capture the dynamic behaviour of important gas storage value drivers (e.g. summer winter spread, forward curve dynamics, spot vs. prompt forward price dynamics).
·  Key role for modelling and managing the position mismatch between physical gas storage capabilities and the storage capacity sold to our customers.
· Integrating gas storage models with the main commercial strategies for gas storage operations, marketing of structured gas storage contracts and contribute to the structuring and valuation of new gas storage products.
· Providing analytical support for complex transactions and investment decisions related to gas asset development (offshore installations, gas terminals and treatment facilities, oil condensate operations).

The Role

The Position Management & Analytics Team is part of CSL’s Business Support Department and provides the company with analysis in the following areas:

· Quantitative modelling for the valuation and position management of the Rough gas storage and the portfolio of structured gas storage products of our customers.
· Managing and monitoring CSL's positions in both the tradable and the non-tradeable time horizon including regular position runs.
· Definition of the commercial framework, release of gas storage capacity for sale and definition of rateable benchmarks for value capture and hedging.
· Development and implementation of CSL’s market risk policy and risk reporting.
· Assessing investment decisions and complex structured transactions.
As a member of Position Management & Analytics Team the Quantitative Analyst will be focussed on the quantitative modelling and valuation work in these areas. The main challenges are:
· Develop a good understanding of CSL’s business activities and the regulatory framework.
 
· In-depth understanding of spot price and forward curve dynamics, including volatility and correlation term structures, mean-reverting behaviour of seasonal spreads, spot-prompt price differential and co-integration mechanisms with other commodities.
· In-depth understanding of valuation concepts used for gas storage and gas swing contracts: Rolling-intrinsic, basket-of-spreads, least-square monte-carlo.
· Applying gas storage models in different settings: Day-ahead and intra-day dispatch, asset optimisation and hedging, asset and contract valuation, evaluation of investment projects and complex structured contracts.
· Translate quantitative concepts and insights into business strategies and integrate with the our commercial framework.
· Teaming-up with commercial colleagues to improve CSL’s product offering and support related business transformation.
· Communicating complex quantitative concepts in an intuitive language in order to gain support from business stakeholders.

The Person

Education:
Advanced degree (master or equivalent) in a relevant subject:
Econometrics, quantitative finance, operations research, economics combined with a quantitative (engineering) subject, or similar.
Experience:
· Programming experience in a quantitative language like Matlab, C# or Python as well as in Visual Basic preferably related to monte-carlo simulation and optimisation models.
· Commodity trading experience preferably related to North-West-European gas or power markets.
· Quantitative modelling experience preferably related to energy asset valuation, hedging and dispatch.
Candidates having a strong background in commodity trading or quantitative modelling in combination with basic proficiency in the other field will be considered, if the potential to grow into the role is evident. As an example, a candidate with a background in financial industry, who has modelled fixed income instruments / credit portfolios and is experienced in commodity trading, can apply for this role.
Programming experience is essential; it can be acquired in both, academic or commercial environments.
Interpersonal skills and communication:
Team work and a co-operative work approach are essential for CSL’s ability to solve complex business problems and commercial challenges. The interpersonal skills of the candidate will therefore form an important part of the assessment.
As the role will support the development of CSL’s mainstream business, the candidate should be able to articulate complex quantitative ideas in a readily comprehensible manner.
 

The Company

Centrica Storage Limited is a wholly-owned subsidiary of Centrica plc. With our head office in Staines and main engineering office in Hedon, we operate the Rough gas storage facility in the southern North Sea, the York off and onshore gas processing facility and the Easington onshore gas processing terminal in East Yorkshire.
Our Rough gas storage facility, the largest in the UK represents around 75% of UK’s current storage capacity. Gas is stored in the Rough field on behalf of a large number of customers, including utilities, gas traders and gas producers. Centrica Storage's commercial team is separated from those parts of Centrica that deal in gas supply, gas shipping, trading and storage procurement
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 ************@*******.** typing 'Update Required: Quantitative AnalystCSL30045-1' 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 ************@*******.** .

Vacancy Closing Date: 28th March 2016