Quantitative Risk Analyst

4 weeks ago


London, Greater London, United Kingdom Glencore Full time
Quantitative Risk Analyst

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. The role is reporting to the Head of Market Risk.

Key Responsibilities
  • Create and validate models to capture risk embedded in structured transactions
  • Calculate and report daily risk analysis on trading books
  • Share with the team the responsibility to maintain price databases
  • Advise upon, and directly contribute to ongoing system and model development for the measurement of risk, and carry out model reviews to help ensure best practice is followed
  • Undertake assessments of a wide range of transactions, carrying out modeling and analysis as necessary
  • Communicate results effectively with traders and senior management
  • Proactively identify and communicate issues that may cause a surprise and ensure that reports or measurements present a reflection of this
  • Use and understand trading concepts and identify the main influences that drive changes in prices and price relationships
  • Regularly engage in discussion with traders and management about exposure taken
    Education and Experience Requirements
    • Educated to degree level at 2.1 or above in financial mathematics or any quantitative fields
    • Experience in modelling structured and exotics options (spreads options, Wiener processes, Kirk's approximation etc...)
    • Experience in commodities (paper and physical) is an advantage 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


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