Job Description

Job highlights

Full time
London, Greater London, United Kingdom
Market Risk

Job ID

R200001159

Closing date

Never

Last Updated

07/05/2025

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