Market Risk Manager Commodities VP

ING; Greater London; On-site; GBP 75,000 - 95,000; Full time

Job summary

A leading financial institution is looking for a Senior Commodities Trading Risk Manager in London. In this role, you will monitor and analyze market risk exposure while supporting the business with risk and P&L advice. You are expected to have over 5 years of experience in market risk management, in-depth knowledge of commodities, strong command of Python, SQL, and VBA, and a University degree in a quantitative field. Join us to help improve our risk framework and trading strategies.

Qualifications

• 5+ years of experience in the financial industry.
• In-depth product knowledge of commodities and associated pricing models.
• Good knowledge of banking regulations like FRTB and Basel III.

Responsibilities

• Monitor and analyze market risk exposure for the Commodities desk.
• Review transactions over established limits to ensure compliance.
• Provide P&L advice to aid business management.

Skills

Market risk management

Leadership skills

Technical skills in Python

Technical skills in SQL

Technical skills in VBA

Education

University Degree in a quantitative field

Tools

Sophis

Job description

Department Overview

This is a role in the Trading Risk department (TRM). The TRM department is a team of approximately 70 people supporting a wide area of businesses within Financial Markets, Group Treasury and Lending Services. The team is responsible for the market risk and product control function. The department’s core activities are measuring and analysing market risk and trading performance across a variety of financial products. The role of the department is as a second line of defence being business partner to the Front Office (FO), providing challenge and support.

This role is primarily responsible for acting as senior commodities trading risk manager in London and is reporting to the Head of Commodities TRM in London.

Experience / Knowledge

Essential:

• 5+ years of experience in the financial industry
• Experience in market risk management
• In-depth product knowledge of commodities and associated pricing models
• Good knowledge of banking regulations FRTB, Basel III
• Strong leadership and organisational skills
• Strong technical skills in Python, SQL and / or VBA

Desirable:

• Experience with Sophis
• Experience with market data sourcing and derivation (volatility, repo spread)
• Experience in working on regulatory change and interaction with regulators (FRTB, TRIM, SIMM)

Main Duties and Responsibilities of Role

• Monitoring and analysing and reporting the organisation’s market risk exposure for the Commodities desk
• Closely follow market developments and analyse both the realised and potential impact on the trading portfolio
• Understanding and explaining the content of the reporting to FO and senior management
• Monitoring trading limits and reviewing transactions over the established limits
• Challenging FO on limit breaches, pricing, and strategy
• Maintenance and implementation of policies and procedures.
• Ensuring compliance with all relevant ING policies.
• Continuously engaging with FO to keep up to date with their trading strategy, pricing and strategy
• Supporting the business by providing pro‑active risk and P&L advice to aid business management
• Product development in conjunction with FO
• Development of a new stress testing framework (historical, hypothetical, and reverse stress testing) for the Commodity asset class
• Development and enhancement of existing risk framework
• Improvement of the desk processes, looking for opportunities to increase efficiency and enhance the control framework
• Collaborate with valuations team to improve the global valuation adjustment framework (independent price verification, fair value adjustment, and prudent valuation adjustment) for the Commodity asset class.
• Improvement of the desk processes, looking for opportunities to increase efficiency and enhance the control framework
• Involvement in local and global projects to implement changes in systems and regulations like Fundamental Review of the Trading Book (FRTB)
• Functional testing of risk management system upgrades and model implementations in cooperation with FO, Quants, and IT
• Supporting Model Development Quants in the development of models and methodologies and Model Validation quants in the validation of models and methodologies
• Prepare and conduct monthly desk reviewsMaintain input or data quality of risk management systems.
• Coordinate with the Global Market data team (GMDB), Trading Application Support, System Support and other teams to set up new market data sources and to help resolve market data-related issues.
• Conduct annual review of trading mandate, limits and approved products

Candidate Profile

Qualification / Education

Essential:

• University Degree (2:1 or above) in a quantitative field, preferably (financial) mathematics, engineering, physics or econometrics

Desirable:

• Professional qualification (e.g. PRM, FRM)

Personal Competencies

Essential:

• Excellent analytical and problem-solving skills
• Good communicator with attention to detail, pro‑active, autonomous as well as ability to summarise
• Strong team player with ability to work successfully with cross‑functional, geographically dispersed teams
• Ability to work with FO and understand the business perspective of key projects
• Flexible approach to role and responsibilities
• Ability to manage multiple tasks at the same time
• Ambition to specialise into the commodities asset class and continuously learn as much as possible
• Comfortable working with complex technical processes and analysis of large data sets

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