Senior Quantitative Risk Analyst - Commodities

A global trading organisation is looking for a senior quantitative risk specialist to join its Johannesburg-based risk team, supporting international trading desks across metals and coal.

This is a hands-on quants role, not regulatory or reporting risk. The person will design and implement pricing and risk models for structured commodity transactions with embedded optionality, support VaR, stress testing, volatility surfaces, and partner closely with trading and credit teams. It suits someone who has experience building models themselves - Python/VBA  and who understands real trading exposure, not just theoretical frameworks.

You will be responsible for ensuring complex trading exposures are properly valued, understood, and governed within defined risk appetite. To be considered for this role you will need to have experience:

• Modelling structured and exotic products (physical and financial), Wiener processes, Turnbull-Wakeman Asian options and similar
• Excellent coding skills in VBA and Python essential for the role
• Experience in financial model implementation, and have implemented  numerical methods such as Monte Carlo or PDE

What you'll do

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  Design and implement pricing and risk models for structured and exotic commodity transactions with embedded optionality

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  Develop and maintain VaR, stress testing, volatility surfaces, and derived credit metrics

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  Partner closely with trading, credit risk, market risk, IT, and market data teams

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  Support new transactions and business initiatives requiring quantitative assessment

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  Communicate complex risk outcomes clearly to senior stakeholders

What you bring

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  7-10 years' experience in quantitative risk or pricing, ideally within trading, commodities, or complex derivatives

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  Advanced degree in financial mathematics, quantitative finance, or similar

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  Strong hands-on coding ability in Python and VBA

• Ability to code and develop financial payoffs
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  Proven experience modelling (end to end) structured or exotic products

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  Ability to work autonomously, challenge constructively, and deliver under pressure

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  Exposure to real trading risk, not regulatory box-ticking

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  High-impact, intellectually demanding work

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  Direct visibility with senior decision-makers

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  Strong global collaboration

Should you meet the required skills please respond to this advert