Senior Market Risk Analyst
- Calculate VaR and explain to the desk any significant changes against market moves and actual positions;
- Take a pro-active lead on Risk quantitative analysis, i.e.
- Analyse risk reports (current metrics vs P&L) and Develop views on the risk profile by business unit, portfolio or strategy;
- Propose new risk measures\stress tests; Develop the method; Implement the prototype and Coordinate the process industrialization with other teams.
- Contribute to advanced Model Validation, structured trade approval\risk assessment or capital allocation optimization;
- Contribute to enhance processes and procedures to broaden the scope and increase the quality of our proprietary market data;
- Take ownership of short-to-mid term IT projects to develop or enhance our Risk systems (e.g. data feed process setup and industrialization; prototyping offline analytical tool; performing UAT, maintaining ETRM reference data);
- Contribute pro-actively to the regular assessment of the risk metric methodologies and the back\stress testing processes as the business develops and report any issue, loophole or inconsistency to the Market Risk manager;
- Assess pro-actively the appropriateness of the current Risk metrics (incl. back/stress testing) environment as the business develops and the market conditions change, and make recommendation for improvement to the Market Risk manager;
- Review regularly the consistency of control processes and policies as the business develops and report any issue to the Market Risk manager;
- Develop & manage daily relationship with key business stakeholders across the board (FO, MO, Ops, Finance and IT);
- Potentially train and supervise junior risk analysts.
- Advanced degree in Mathematical finance/economics, Sciences or Engineering.
- Excellent knowledge of the physical and financial markets in general and the risk management function in the commodity energy industry in particular;
- Exposure to Oil & Refined Product or Gas & Power trading is a prerequisite;
- Clear vision of risk reporting infrastructure, deal life cycle processes and complex structured deal representation in ETRM;
- Proven track record of Option risk management and Structured product model validation;
- Proven capability in conducting IT projects for Risk (ETRM implementation, enhancement and maintenance).
- Minimum 5 years exposure in an energy trading environment;
- Strong quantitative and programmatic skills (Excel/VBA is a prerequisite, scripting\database query language is an advantage).
- Solid knowledge of a commodity physical business: nature of market risks (time spread, basis risk etc.), logistics (delivery, transfer of title etc.), physical assets (e.g. oil inventory, gas storage, power tolling);
- Solid mathematical or financial engineering educational background: Good understanding of the mainstream derivative products.
- Minimum 5 years experience in an energy trading market risk management position; Exposure to Oil & Refined Product or Gas & Power markets is a prerequisite.
- Be a self-starter as well as a team player;
- Willingness and ability to work and deliver on challenging timelines;
- Be diligent and dedicated to manage ad-hoc analysis and projects in a timely manner;
- Strong analytical skills;
- Understand position management and price risk for a physical commodity business;
- Ability to articulate and communicate complex risk matters in an effective manner to senior management;
- Maintaining a balance of a strong independent mind in executing responsibilities and effective relationships with FO and other support functions;
- Ability to work in a pressured environment.