Quantitative Analyst

Shell; United Kingdom; On-site; GBP 50,000 - 90,000; Full time

Job description

Where you fit in

Shell Trading integrates a worldwide trading network with an unsurpassed global portfolio in crude oil, refined products, natural gas, electrical power, and chemicals. It has larger locations in London, Houston, Calgary, Singapore, Dubai, Rotterdam, and Barbados. Shell Trading is one of the world’s largest energy traders and is a key segment of the Royal Dutch/Shell portfolio.

Shell LNG Marketing and Trading is one of the world’s leading LNG portfolio businesses. Since the beginnings of the industry over 50 years ago, we have become one of the most experienced companies in delivering LNG through managing the purchase and sale of cargoes from Shell, its partners and third parties.

In 2022 Shell’s global LNG trading business delivered hundreds of LNG cargoes to over 25 countries through access to 30 million tonnes of liquefaction volumes from 12 plants and third-party LNG supply. We are one of the world’s largest LNG shipping operators, managing and operating more than 18 carriers and with 65 on time-charter. Combined, these LNG carriers constitute around 11% of the global LNG shipping fleet.

Our global trading business is made up of key trading hubs in London, Singapore and Dubai with regional offices in The Hague, Houston, Lima, Rio de Janeiro and Mexico City.

What’s the role?

The primary accountabilities of the Quant Analyst are:

• Build pricing and modelling across the LNG trading space. The primary focus of this role is on building and implementing pricing exotic structured products and physical optionality, originating from LNG physical contracts.
• Research and implement derivatives pricing models under a mature pricing engine platform. Leverage on existing Quant Library and implement blocks of models and standardize (and if necessary refactor) them.
• Deploy the derivative pricing models to an execution engine, with support from quantitative developers.
• Internal model documentation of mature quant models and making them ready for model validation.
• Contribute to enable high quality, shared understanding of market opportunities, trends, and value potential.
• Understand the LNG deal funnel in order to appropriately prioritise new opportunities in the portfolio across the team.
• Capture and share learnings from both internal and external experiences to Shell to help improve commercial and operational decision making.
• Partner with IT, Business Excellence / Commercial Delivery to select and implement (full lifecycle; scope, design, build test & deploy) new IT solutions and enhancements to existing IT solutions in readiness for new value propositions or enter new markets.
• Bring rigour/governance to the delivery structure and where feasible drive towards full automation.
• Work closely with IT and other support groups on model implementation, system integration, and data analytics.

This new position will be reporting to the LNG Derivatives Trading Team Lead and will be responsible for improving analytics and modelling to enhance commercial activities within the LNG short term trading portfolio. The role will focus on modelling and pricing options originated from physical deals. Grow the LNG business and make them a significant contributor to SLMT P&L.

The Quantitative Trading Analyst will form part of the front office derivatives trading team, acting as a focal point for commercial modelling. The incumbent will understand the end-to-end process flow of a trade lifecycle and through deep knowledge of the LNG markets/business, be part of a team to cater to structured, retail, and imbalance products across the LNG spectrum.

What we need from you

The successful candidate would be required to:

• Preferably, someone with desire or experience in commercial /quantitative roles, specifically in the LNG or Gas and Power markets.
• Some understanding of financial risks from vanillas and exotic structured products.
• Prior work or research with widespread and diverse structured product in commodities space, such as swaptions, calendar spread options, swing options and/or asset optimization is a plus.
• Prior experience or interest in modelling forward curves and volatility dynamics in commodities, e.g. Gabillon, HW, local and stochastic vol models is a plus.
• Understanding of Monte Carlo risk modelling methodologies, particularly in derivatives pricing context.
• Good programming skills, preferably in Python or any low-level language.
• An external focus, with expert knowledge of the market, and ability to quickly understand commercial opportunity, and its value drivers.
• Be precise, and execute flawlessly to maximise value captured.
• A broad and agile, but precise thinker, capable of building trust and credibility.
• This role requires an ability and willingness to quickly understand and act upon commercial opportunities, often under significant time pressure.
• Proactive approach and mindset to propose and drive improvement and changes.
• Experience and appreciation of purposeful collaboration.
• Prioritisation skills, distinguishing between urgent, important and essential.
• A “can do” attitude is a must.
• Stakeholder management: the role will engage with a large pool of stakeholders, with whom effective communications and relations are essential. These include:
• Trading: GM / RTL / Traders.
• Structuring / Quants.
• Model Validation.

Other desirable skills include:

• Prior experience implementing core quantitative library infrastructure, such as PDE solvers, Monte Carlo simulations, curve and volatility fitting and model calibration.
• Exposure to hardware-aware technology stack and libraries, such as jax, pytorch, tensorflow, polars, is a plus.
• Exposure to cloud-computing is a plus.
• Exposure to time series analysis and Machine Learning techniques is a plus.

If you don't see yourself fully reflected in every job requirement listed on the posting above, we still encourage you to reach out and apply. Research has shown that not everyone often applies when they don’t feel 100% qualified. We are committed to creating a more equitable, inclusive, and diverse company and we strongly encourage applicants of all genders, ages, ethnicities, cultures, abilities, and life experiences to apply. We look forward to receiving your application.