Key Responsibilities:
- Improve risk analytics for the whole middle office function through scenario analysis and stress-testing models.
- The Implementation of pricing models for valuing and risk managing structured products.
- Ability to collaborate with the front office and finance teams in selecting the required valuation methods and communicating the reasoning behind their selection.
- Recommend and Develop methodologies and tools for the calculation of risk measures for the commodity markets in line with ETS.
- Responsible for the ongoing management and regular monitoring of structured products, their hedges and implement these processes to streamline and automate the programs.
- Tasked with obtaining approval to trade new structured products by collaborating with the internal departments, producing reports outlining the characteristics and underlining the potential risks.
- Produce standard ETS middle office reports on structured products, including P&L and explanation, limit reports and VaR.
- To aid in the development and implementation of the automated and infrastructure projects for the use of Market Risk analysis, using VBA and Excel.
Qualifications:
- A degree in Quantitative Finance, Mathematics, Physics, or other science disciplines.
- Strong level of knowledge and practical experience using VBA Programming, Matlab and Excel.
- Experience and understanding of commodity options on physical assets including storage, swing, optimisation, optionality in physical oil terms.
- Ability to understand and apply risk management concepts, including stress-testing, value-at-risk, liquidity adjusted VaR and scenario analysis.
- Previous experience working in the banking, finance or finance sector.
- Strong understanding of options, mathematics and how they are priced.
- Ability to communicate ideas and findings fluently in English (written and spoken).