Senior Market Risk Manager

vor 4 Monaten


Geneva, Schweiz Michael Page Vollzeit

- Review positions and strategies, make sure prices and positions aligned properly by MO.

- Dissect reported p&l in alignment with pnl related to position and pnl not related to positions (eg:

crushing margin mark-to-market and mtm reverse, timing adjustment etc.).

- Support desks with VaR analysis for global product lines.

- Report and discuss with platform risk manager regularly on market updates in order to refine

market analysis.

- Support platform risk manager, in collaboration with risk system team to carry out the following

activities in order to support commercial hedging strategies:

- Update / refine / expand non-deterministic fundamental price modeling using ensemble weather

data.

- Evaluate option implied volatilities to identify optimal option hedging opportunity.

- Improve existing analysis on basis hedge strategies.


* 5-7 years experience in similar role* Strong understanding of non-deterministic modeling and risk valuation methodologies.* Commodities experience, preferably in grains and oilseeds market (or other agriculture products)* Python experience required* Options experience required



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