Summary: One of the largest Utility-backed physical energy traders in LNG, Coal and Freight is looking to add an experienced Market Risk Analyst to the Risk team in London. The Senior Market Risk Specialist will support the business in all key risk management matters affecting the organisation, including working alongside the traders - both challenging and supporting them on their daily activities. The Risk function forms part of our Middle Office and is responsible for the design of risk methodologies, implementation of suitable risk control frameworks and providing both qualitative and quantitative market risk analysis and risk control solutions.
- 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
- 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