Market Risk Manager
The primary responsibilities of this role include:
- Validation of market data models (calibration of exotic parameters) and product models (Virtual Power Plant, Hydro and Gas Storage, Swing Options, etc.) developed by the Front Office to value vanilla and exotic energy options (MtM and Greeks calculation).
- Development and validation of risk methodology in relationship with Risk Control and Treasury.
- Development and operational support around MatLab risk tools used for operational risk control.
- Support the Front Office to provide ad-hoc pricing benchmarks and risk analyses for new structured deals.
- Review of economic models for investment decisions.
The successful candidate will have a strong background in risk management obtained within an investment bank or energy trading company. They will have knowledge of energy commodities and derivatives products, as well as of option pricing theory and financial mathematics. Candidates are likely to have a background in pricing and optimisation model development. They will be an experienced user of MatLab.
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