Market Risk Manager

PetroChina International (America), Inc.; Houston (TX); On-site; USD 120,000 - 160,000; Full time

Job summary

PetroChina International (America), Inc. seeks a lead Risk Analytics professional to oversee quantitative development across gas, power, crude and products.

Responsibilities include validating MTM valuations, developing VAR substantiation, back-testing and stress testing, and analyzing price, position and risk information to assess embedded risks in new transactions. The role requires strong Excel/VBA/Python skills, market risk expertise, and daily interaction with trading desks to ensure

Qualifications

• Strong Market Risk knowledge and experience.
• Advanced data analysis across datasets (linear & nonlinear).
• Experience with energy markets.

Responsibilities

• Lead risk analytics for multiple commodities and P&L substantiation.
• Validate MTM valuations and risk exposures across instruments.
• Develop VAR substantiation with back-testing and stress testing measures.
• Provide daily analysis of risk information and P&L drivers; validate VAR results.

Skills

Market Risk

Data analysis

Energy markets

Communication

Trading desk interaction

Tools

Excel

VBA

Python

Job description

Position Summary:

Lead the Risk Analytics across all commodities (Gas/Power/Crude and Products) in terms of overall quantitative and analytical development across all commodity risk positions.

Duties and Responsibilities:

• Provide extensive quantitative analysis and validation of MTM valuations across instruments in terms of properly evaluating risk exposures and metrics.
• Lead the development of proper risk analytics to establish VAR substantiation, inclusive of development of back-testing and stress testing market risk measures.
• Responsible for ongoing analysis of price, position and risk information as well as providing a critical assessment of embedded risks in new transactions on the impact of the new business on the corporate profile.
• Daily analysis of the risk positions and corresponding market drivers of P&L to provide in-depth substantiation of VAR results.
• Responsible for ongoing analysis of price, position and risk information as well as providing a critical assessment of embedded risks in new transactions on the impact of the new business on the corporate profile.
• Review and approve market assumptions in significant new deals.
• Analyze changes in option greeks and portfolios, providing comprehensive analysis of option exposures.
• This role and the corresponding team will be responsible for developing coordinated effort across the risk analytics and reporting functions. Daily reconciliation efforts between front, mid and back office to ensure proper controls across the life-cycle of the trading portfolio. The analyst will be responsible for the identification, communication and solutions of reconciliation breaks as needed.
• Responsible for managing all month –end curve validation to substantiate MTM values and make proper fair value determination. As part of the validation process, the analyst will assist in the establishment of a robust reserve process.
• Develop and maintain relationships across varying levels of management and functions to ensure a high degree of accuracy in the daily P&L, Risk and VAR reports. Perform daily request from varying levels of the business.

Desired Skills and Experience

• Highly Proficient at Excel/VBA/Python
• Strong Data analytical ability across linear and nonlinear data sets
• Market Risk knowledge a must
• Energy market knowledge/experience
• Strong ability to communicate effectively across varying levels
• Previous background in Market Risk is required
• This role will involve daily interaction with the trading desk. The ability to manage multiple requests under tight timelines will be essential to be successful in this role.

The Company reserves the right, in its sole discretion, to modify this job description and any of the responsibilities included herein at any time, for any reason, with or without advance notice.

Candidates must be authorized to work in the United States without the need for employer sponsorship, now or in the futu