Our client is a renowned commodity MNC.
For this role, you are part of the Risk Team whereby you provide expert quantitative risk management support to the Risk and Marketing teams, including: market and credit risk modelling, forward curve estimations and valuation methodology determination.
TYPICAL TASKS
Risk Management
•Assist the Manager Market Risk in determining forward curves and Reference Price formulas.
•Provide technical input into the selection and implementation of Marketing Risk systems.
Risk Reporting
•Develop a suite of risk reporting tools to express the risk being generated by different Marketing strategies.
•Perform back testing of risk calculations to ensure integrity of the reports produced.
Quantitative assessment
•Provide quantitative assessment on key marketing priorities and structure transactions.
•Identify embedded optionality within transactions, determine valuation parameters such as volatilities, forward curve, discount rates, FX rates etc. and quantify the fair value.
•Perform Limit setting and review, as well as manage positions against those limits.
Non-standard contract or transactions
•Review optionality of the transactions and quantify exposures and the fair value of the transactions.
•Provide input into pricing decision in view of the risk exposure.
In this role, you report to the Market Risk Manager, and work closely with the front office teams (traders/ marketers). You will also work with the marketing finance teams.
CAPABILITY REQUIRED TO DO THE ROLE
• A postgraduate degree in a quantitative field, e.g. computer science, mathematics, engineering, physics, or finance.
•Proven track record in risk management or risk reporting role of minimum 5 years.
•Working experience in banking, trading, marketing environment or similar.
•Working experience with risk management, trading or sales and distribution systems.
•Expert understanding of Quantitative risk modelling in a commodity environment.
•Excellent knowledge and understanding of a wide variety of model development and validation statistical techniques covering primarily market and credit risk
•Ability to explain and defend complex quantitative methodologies, in a clear, understandable manner to colleagues and senior managers within the Marketing BU.
•Ability to work under pressure and to tight deadlines in a trading environment
•Effective written and verbal communication skills; fluency in English (verbal and written) is essential
•Expert Excel/Access VBA and SQL developer.
•Outstanding problem solving skills.
