Associate – Market Risk Management
The Role
- Carry out market risk analysis of a broad range of commodities including gas, power, metals, oil, agriculture, and freight using VaR, Stress Testing, Sensitivity Analysis etc.
- Help design the stress-testing framework based on market price risk and liquidity analysis
- Volatility margin requirement analysis using VaR in conjunction with market liquidity, term structure, market fundamentals and requests from traders to offer spreads based on trading strategies.
- Work closely with the wider quant teams in regards to developing derivative pricing models and risk models
- Review of eligible collateral as well as setting collateral haircuts using VaR
- Setting concentration limits and tolerances
- Set margins and risk offsets for niche products that are illiquid or that have not been fully commoditised
- Scope to carry out analysis of OTC Derivative including credit, fx IR.
The Candidate
- Quantitative degree, ideally to MSc level
- Strong knowledge of commodity products with a particular expertise in physical products
- Previous exposure to pricing/risk models advantageous, but not essential
- An interest in wider financial products, primarily fixed income
- Good understanding of quantitative models
Contact: Kate Winthorpe on +44 (0) 203 141 8014
VISIT US | www.gqrgm.com
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. To speak with an agent please contact one of our regional offices using the contact details listed below. Utmost confidentiality and discretion is assured.
LOS ANGELES | 1.310.807.5025
10877 Wilshire Boulevard, Los Angeles, CA 90024 | Office Hours: 6.00-21.00 PDT
NEW YORK | 1.212.763.8333
1325 Sixth Avenue, New York, NY 10173 | Office Hours: 9.00-21.00 EDT
LONDON | 0203.141.8000
Westminster Tower, London, SE1 7SP | Office Hours: 8.00-20.00 GMT
HONG KONG | 852.3678.6738
2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT
GQR Global Markets
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