Quantitative Risk Analyst

Glencore; London; On-site; GBP 60,000 - 100,000; Full time

Job summary

An established industry player is seeking a skilled quantitative analyst to join their Risk Department in London. This role involves modeling and monitoring risks associated with trading portfolios, ensuring that exposures align with the company's risk appetite. You will engage in developing complex valuation models for structured transactions in the energy sector, collaborating closely with trading teams and senior management. The ideal candidate will possess strong analytical skills, coding expertise in VBA and Python, and the ability to communicate complex ideas effectively. Join this dynamic team to make a significant impact in a fast-paced environment.

Qualifications

• Educated to degree level at 2.1 or above in financial mathematics or any quantitative fields.
• 3-7 years experience in a quant role, modeling structured and exotics options.

Responsibilities

• Create models to value complex structured transactions in the energy space.
• Work with trading and risk functions to ensure exposures are captured appropriately.
• Maintain and improve VaR and stress models.

Skills

Quantitative Analysis

Modeling Structured Options

Problem-Solving Skills

Communication Skills

Analytical Skills

Teamwork

Coding in VBA

Coding in Python

Education

Degree in Financial Mathematics or Quantitative Fields

Tools

Valuation Tools

Job description

Risk Department

London, UK

The Glencore Risk Department is an independent function aiming to control front-line trading. The Risk Department ensures that the risk-reward of the trading books is properly understood by Glencore senior management and that the physical exposure of the business - e.g. oil cargoes, electricity generation, gas deliveries - is correctly valued.

This position requires the individual to model and monitor the risk embedded into the company portfolio and make sure it stays within the company's risk appetite.

Key Responsibilities

• Create models to value complex structured transactions involving physical and implied optionality in the energy space, e.g. regassification terminal, gas & oil storage, gas & power transport, etc
• Work with trading and other risk functions to ensure complex exposures are appropriately captured and represented, taking into account materiality and resources required to develop the model
• Participate in the assessment of new businesses and new transactions where modelling might be required
• Work with Credit Risk department for the development of complex derived credit metrics (e.g. PFE) and the ad-hoc assessment of material new transactions
• Maintain and improve VaR and stress models
• Engage closely with IT department to develop internal valuation tools and implementation of models
• Communicate results effectively with trading and senior management

Education and Experience Requirements

• Educated to degree level at 2.1 or above in financial mathematics or any quantitative fields
• 3-7 yr experience in a quant role, modelling structured and exotics options (spreads options, Wiener processes, Kirk's approximation etc...)
• Experience in commodities (paper and physical) advantageous but not required
• Coding skills in VBA, Python
• Highly numerate, with good problem-solving and analytical skills
• Good communication skills - must be able to understand others' perspectives and relate complex ideas to different groups, including senior management
• The ability to challenge proposals constructively to help ensure they are robust, whilst maintaining excellent working relationships
• Must be able to work effectively in a team, flexibly handling a wide range of potential issues
• Must be capable of working with significant autonomy and ensuring analysis is focused on delivering practical business benefits, often in tight deadlines