Quantitative Risk Analyst

vor 3 Wochen

Genf, Schweiz TOTAL Deutschland GmbH Vollzeit
  • Fast-paced, dynamic trading environment with time-sensitive, business critical activities requiring ad-hoc analyses and generation of risk reports.
  • The Quant Risk Control Analyst is part of the Global Risk Control team involving Houston, Geneva, and Singapore.
  • The Quant Risk Control Analyst works closely with Front Office, Structuring, Origination, Back Office, Finance, Compliance, and Trading System teams.
  • The team works across multiple locations and product types including natural gas, LPG, LNG, US Power, Emissions, and Dry Bulk Products.
  • The Middle Office is responsible for calculating profits and losses and for managing the risks of the trading department. It is responsible for all aspects of market risk control, such as risk identification, measurement, monitoring and disclosure across various classes of energy commodity assets.

PURPOSES

  • Compliance with internal trading limits
  • Accurate and independent analysis, valuation, and reporting of risk positions and trading results
  • External regulatory compliance

As part of the Global Risk Control Organization activities involve contributing to any quantitative metrics, analysis, and modeling for the Risk Control function:

  • Develop and implement quantitative risk models and metrics for TGPNA’s trading function.
  • Take ownership of TGPNAs VaR model(s) including accurate position assessment with an understanding of trading products/contracts specifics.
  • Build and monitor forward curves, formulas in the ETRM including Hub, Zonal, and potentially Nodal prices at forward tenors.
  • Competency in risk assessment of structured transactions for TGPNA and other TotalEnergies affiliates.
  • Analyze, model, and report market risk for trading activities.
  • Assess and monitor physical and financial trades, various products and instrument types including but not limited to real-time, day-ahead, congeestion (CRR, FTR, and PtP Trading), and BESS optimization.
  • Work with a team of Middle Officers and support their analysis of mark-to-market valuations, risk positions, spread changes, and P/L results on a daily basis.
  • Develop and maintain risk reporting/analytics to communicate position, P/L and market risk to traders and management.
  • Provide critical thinking around risk reporting processes, quantification, and analysis of commodity exposure and forward price movements for TGPNA’s multi-products trading activities. Maintain, enhance, and review risk models. Test new risk calculations, evaluate model assumptions against fundamentals, and communicate suggested modeling/valuation enhancements to achieve better valuation and risk quantification. Communicate effectively with Front Office, Operation, back office and Finance team on inputs and assumptions.
  • Work closely with Traders to quantify and explain the sources of risk in their portfolios.
  • Contribute to the reporting of Trading Result/ Position to Senior management including analysis provided to the US Power Risk Committee.
  • Work closely with Back Office, Finance, Credit, Legal & Compliance, Business Unit Control to ensure best control practices, operational efficiency and policy/limit compliance.
  • Coordinate with Compliance to ensure compliance requirements are met.
  • Support, identify, and assist in the implementation of process improvements ,from scope, testing, to desk level application.

DIMENSIONS

The Quantitative Risk Analyst - Power position resides in the Global Risk department, under the supervision of the Middle Office Supervisor and Head of Risk Control (both located in Houston). The job holder will seek to measure, analyse and monitor the P&L, Risk Exposure and Risk Metrics including Value At Risk of the Trading Desks.

The position is based in Houston and includes oversight of both global and US energy markets with an emphasis on TGPNA’s growing power business.

You are someone who possesses the following experience and credentials:

  • Degree in mathematics, statistics, physics, economics, engineering (electrical) and/or quantitative finance required.
  • Masters degree is strongly preferred.
  • 3-5 years of energy analysis experience.
  • Prior experience developing commodity related models such as discounted cash flow, storage, transmission, power generation, and/or congestion analysis.
  • Comprehensive understanding of risk management methodologies and valuation models.
  • Familiarity with Power Flow Models in order to validate and reconcile valuations for risk control.
  • Ability to make risk assessments of CRR/FTR congestion risks and apply appropriate risk metrics around congestion activity.
  • High degree of accuracy and efficiency under set deadlines.
  • Proficiency in data science programming language(s) such as Python, R, etc.
  • Dependability and a high level of flexibility with regards to working hours.
  • Good interpersonal skills.
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