Market Risk Manager
An exciting new position has opened up with one of the largest commodities houses. They are looking a candidate with previous market risk experience from either a bank or commodities house to join their expanding team. This role is based on the trading floor so the successful candidate will be used to dealing with front office staff and have excellent communication skills.
Responsibilities include:
- Running of risk models and production of market risk metrics (MVaR, stress testing); providing explanation of why these numbers have changed
- Actively engage with the front office to understand the trading strategies underpinning the risk that is being measured
- Keeping up to date with global macro events across asset classes - FX, Equities, Money Markets and Commodities as well as understanding the effects of these events to explain market volatility and PL
- Assessing non-linear portfolio risk in the options portfolio using greek analysis and tail risk metrics.
- Scenario analysis of particular option positions to understand greek and PL profiles.
- Actively supporting the new deal assurance process and market risk analysis in support of structured transactions
- Analysis of market risk of trading books either on a portfolio level or/and on a deal basis and help assessing risk and valuation methodologies.
- Collaborate with Risk Quant teams to understand and analyze models used for market risk metrics.
- Assist in running of centralized Market Risk Processes
- Actively participate in Global market risk projects as well as local ad-hoc projects
- Perform user testing of Market Risk Systems
- Assist in the annual audit processes for market risk
- Data maintenance and consolidation for use in analysis and the creation of Global Market Risk Reports
Skills required:
- Familiar with the principles of market risk measurement and control. He/she will have a good understanding of the alternative methods available to calculate value-at-risk, define appropriate risk factors, account for non-linear instruments, etc.;
- Practical experience using market risk systems, preferably but not necessarily in an energy environment.
- Be familiar with the practical difficulties/limitations of VAR and other risk measures (volumetric limits, Greeks, etc);
- Sound understanding of the need for a robust risk management framework in a trading environment.
- Solid understanding of the fundamentals of trading.
- Strong programming abilities, ideally in MATLAB, also proficiency in Excel VBA programming would be preferred.
- Articulate and able to communicate complex issues to non-specialists in a concise and clear manner; and have credibility and professionalism to obtain the support with whom they interact with.
Commodities
Apply below or to find out more about the Market Risk Manager - Options / Commodities job contact Anna Purves on anna.purves@robertwalters.com or call +44(0) 207509 8745 quoting the reference 1890200.
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