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.

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