About the Role: 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.
Responsibilities:
* 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 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
* 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 reviews
* Maintain 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
Qualifications:
* 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)
Required Skills:
* 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
* 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)