This role is within the Middle Office Structured Products team responsible for the strategic and tactical development of Middle Office function for Structured Products considering the company's current and future requirements.
As the business moves from "risk-free" back-to-back complex product transactions towards managing complex products internally, the role will support setting up the necessary modelling, valuation tools, methodologies and processes allowing ETS Middle Office to properly value, control and report structured products, ensuring compliance with Company Policy and Procedures.
The role's will be highly quantitative. Its main function will be to assist in providing the company with the capability to value, monitor and risk manage a range of asset-backed structured products that will be managed by its front office. These structured products will take the form of exotic options that become available as a result of the group's physical energy business. The role may also involve some work on risk analytics for the whole of Market Risk.
The successful candidate will work closely with a number of other departments, in particular Front Office, IT and Back Office, as developments of platforms for structured products are made.
MAIN JOB FUNCTION
The job holder will be responsible for:
Supporting the activities required to expand the structured products function within middle office.
Assisting in providing the company with the capability to value, monitor and risk manage a range of asset-backed structured products that will be managed by its front office;
Generating, checking and understanding daily reports for P/L, position control and VaR related to the structured products activity.
Dealing with an ad hoc requests related to risk analytics for the whole of middle office;
Liaising with finance, accounting, back office and IT areas to ensure that deals are correctly booked, reported, accounted for and reconciled.
KEY RESPONSIBILITY AREAS:
To implement pricing models, both internal and third party, that are proposed for valuing and risk managing structured products. This may involve assisting in the development of proprietary models for valuation by the quant team and checking their results;
To liaise with both front office and finance on the choice of valuation methods and the reasons for their selection;
To ensure that the monthly closing P/L reports are generated in an accurate and timely manner and that these results are correctly reconciled with those generated by other areas of ETS.
To assist in obtaining approval to trade new structured products. This will involve writing papers to describe the characteristics and risks of proposed structured product trades, liaising with other relevant departments in the company to ensure they are able to handle the products in their daily processes and obtaining approval to trade from Risk Committee;
To propose and develop methodologies and tools for calculating risk measures appropriate to the various commodity markets within ETS, and to work closely with individuals in MO Commodity functions (e.g., MO gas, power, CO2 and MO Oil) in order to effect consistent implementation. Close liaison with the Finance department will also be required.
To develop risk management processes for regular monitoring and reporting of structured products and their associated hedges, and to implement these processes. This could involve writing programs in order to streamline and automate them;
To produce standard ETS Middle Office reports on structured products, including P&L and explanation, VaR, limit reports.
to improve risk analytics for the whole Middle Office, including stress testing and scenario analysis.
This position reports to the head of Middle Office Structured Products, in the Market Risk Department in London and includes the following interfaces:
Internal - front office, back office, IT and other middle office units on a daily basis;
Internal - finance department;
External - relevant industry contacts.
Strong academic credentials to degree level at least, with strong mathematical content;
Highly quantitative background;
Experience and good understanding of energy markets and the financial instruments commonly used in oil, gas, power and emissions markets;
Experience and understanding of commodity options on physical assets including storage, swing, optimisation, optionality in physical oil terms.
Good understanding of risk management concepts such as value-at-risk, stress testing, scenario analysis and liquidity adjusted VaR;
Practical experience in one or more of the following sectors: banking, energy and finance;
Thorough understanding of options and the mathematics involved in their pricing;
Good knowledge of Excel and VBA programming;
Practical experience and knowledge of Matlab.
Highly organised, structured and analytical, with practical problem solving skills;
Business development attitude (with honesty and integrity);
Innovative and efficient; dedicated and results orientated;
Excellent negotiation and communication skills, with the ability to build and nurture effective relationships internally and externally;
Attention to internal procedures and policy compliance;
Flexibility and adaptability to work in a rapidly changing environment. Self-disciplined and stress resilient;
A full command of English language (written and spoken). Knowledge of Italian language will be beneficial;
Experience in working in an international, multi-locational organization would be an advantage.
Role may require business travel within the UK and abroad.
CONTRACT & REMUNERATION:
Competitive remuneration package commensurate with experience and skill sets.
11 months ago