Portfolio Management and Analytics VP/Director

About the role

Portfolio Management & Analytics is the risk-management team within Front Office that oversees all risk-taking and trading activities globally for the Commodities business (Energy, Metals, Ags, etc). We analyze and opine on the risk associated with any new significant transaction and all risks aggregated at the portfolio level. Our aim is to 1) prevent significant losses and create a culture of no-surprise by assessing thoroughly all risk types and challenging trading desks’ views, 2) enable risk-taking for new trade types and optimize risk allocation at the portfolio level (VaR, RWA, etc), 3) produce deep-dive analysis on key and complex risks for management awareness and that can lead trading to change their risk-management approach and 4) create best-in-class risk reports and fully map P&L to risk.

Responsibilities

• Assess the risk for new trade types (new underlying, new payout, unusual size, etc but especially complex and structured transactions) by using existing tools or developing new analytics (backtesting, etc); determine parameters to stay within risk appetite and stress associated hedging strategy
• Ensure trading performance is within agreed risk framework and take required action such as tweaking risk allocation, stopping traders out, etc
• Produce reports that properly reflect risk and performance; articulate drivers behind those risk and performance
• Create a strong rapport with traders by helping them understand risk and p&l in their books and at the same time by challenging their market views and positioning
• Communicate on emerging risk themes and escalate pressing matters with senior management
• Work with Quants and Tech to keep improving the trading platform and analytics
• Work with the In-Business Risk group which aggregates and reports risks and performance from a front-office perspective for the Global Head of Markets

Requirements

• Degree in a quantitative or financial discipline
• Previous experience in a quantitative or risk function
• Knowledge and experience in NA Power, Gas and Emissions market a must
• Knowledge of financial instruments and risk metrics
• Quantitative skills including mathematics involved in risk estimation and modelling
• Excellent written and verbal communication skills
• Must be a self-starter, lateral thinker, flexible, innovative and adaptive
• Able to work collaboratively at all levels of the organization as well as ability to challenge status quo
• Excellent written and verbal communication and interpersonal skills
• Excellent project management and organizational skills and capability to handle multiple projects at one time
• Proficiency in programming languages such as Python etc is a plus