Responsibilities:
- Develop and maintain engines for calculating VaR, CaR and PFE.
- Conduct an in-depth quantitative analysis across the risk and credit functions, ensuring the models and portfolios are performing as intended.
- Provide support within the Market Risk team for the validation and development of risk models, including system testing and optimisation.
- Support digitalisation and automation to smooth the flow of information across the business and to remove manual task.
- Ability to enhance and optimise the Internal system and developing the quantitative and reporting tools used by the Credit department, Market Risk, Finance and Front Office teams.
- Use a quantitative approach and analysis to support the risk control team on its methodologies - including limits (notional and vega), VaR back testing and assumptions.
- Prepare analysis as directed by the head of the team for consideration by the Risk Committee and/or New Business Committee
- Contribute to the design and implementation of a holistic risk control framework with focus on market risk
- Support a risk conscious culture and promote best practice controls within the organisation through interaction with commercial and control teams across geographies
Qualifications:
- A degree in Quantitative Finance, Mathematics, Physics, or other science disciplines.
- 5 year's experience sitting in a Similar position within a commodity trading house.
- Strong communication skills - dealing with counterparts, senior management, internal/external regulators.
- Knowledge of Value-at-Risk, scenario analysis, back testing and other market risk techniques
- Strong financial analysis of Gas & Power derivatives.
- Knowledge of market risk associated with traded and real option portfolios
- Exposure to both physical and financial energy markets - pref. LNG, EU Gas & Power market.
- Fluent in English
- Knowledge of Allegro, FEA, SQL or Alteryx useful
- Derivatives valuation, pricing and quantitative risk modelling experience highly valued
