AVP – Market Risk Management
Overview
Leading financial institution is currently looking for an experienced hire in their market risk function with a predominate focus on physical commodities, with wider scope to look at financial products.
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 wider OTC Derivative products 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
If you would like more information, please e-mail risk.emea@gqrgm.com or call 0203 141 8014.
Leave a Reply
You must be logged in to post a comment.