Quantitative Market Risk Analyst

hace 2 semanas

Madrid, Madrid, España Cepsa Colombia S.A. A tiempo completo
About the Role

Cepsa Colombia S.A. is seeking a highly skilled Quantitative Market Risk Analyst to join our Middle Office Risk Management Team. As a key member of our team, you will play a crucial role in analyzing, managing, and preventing risks associated with our commodity trading activities.

Key Responsibilities
  • Provide risk management support for all commodity lines, including Crude, Products, Gas, Power, Emissions, Renewables, and FX businesses.
  • Demonstrate a deep knowledge of the physical markets for each commodity line and identify, measure, and aggregate market, credit, and other financial risks.
  • Understand and measure risk through appropriate practices and processes, ensuring the accurate monitoring of market, credit, and operational risk at a consolidated level.
  • Coordinate the support and execution of a global platform to publish Trading P&L, Market & Credit exposure, VaR by desk, and produce a consolidated view for senior management reporting.
  • Evaluate and mitigate enterprise and business exposures across CEPSA Trading, identifying key and emerging risks and assessing alignment with the CEPSA risk strategy and appetite.
  • Define and enhance Market Risk Metrics around VAR, Stress Testing, Drawdown, Volumetric Risk Measures, etc.
  • Contribute to modeling financial risk, including cashflow/liquidity forecasting and define and enhance various Credit Risk Models and Metrics for all Trading activities.
  • Research and collect data relevant to stress testing and financial risk analysis, properly storing, managing, updating, and documenting data sources according to CEPSA Group standards.
  • Merge multiple datasets and transform data for analytics, creating univariate analyses to explore relationships within the data.
  • Model Calibration and Validation: Conduct initial calibration of proprietary and off-the-shelf models used for pricing complex and structured deals, reviewing model calibration throughout the life cycle of complex deals as market conditions change.
  • Back-test models for validation purposes and develop complex models, methodologies, libraries, and forward curves.
  • Help manage the maintenance and operation of the Price and Market Data Repository for the entire group (GDM).
  • Team Player Support Crude, Products, Gas, Power, Emissions, Renewables, and FX businesses, providing cover during absences for Market Risk teams.
  • Monitor and coordinate efforts and methodologies to measure hedging effectiveness for different hedging programs within the group.
  • Spearhead the development of Market & Credit Risk-specific software and tools for trading (ETRM, proprietary databases and tools, specific algorithms, etc.) and other BUs.
  • Support the Front Office in implementing optimal Market/Credit Risk management solutions for each trade.
Requirements
  • At least 3 years' experience in mid-office commodity trading organization or on a commodity trading team.
  • Numerate-background bachelor's degree, e.g. Math, Physics, Engineering or similar.
  • Confidently engage with stakeholders, effectively challenging traders on deals, valuations, positions, and limit mandates.
  • Ability to coach and mentor team members as well as members of other teams who require knowledge or skills that Risk can provide.
  • Fluency in English and Spanish.
  • Analytically inclined with high energy, approaching challenges strategically.
  • Collaborative team player thriving in a team-based environment.
  • Passionate about creating value in trading and financial markets.
  • Self-starter with superior analytical and problem-solving skills.
  • Effective planner and organizer, working towards ambitious targets.
About Cepsa Colombia S.A.

Cepsa Colombia S.A. is a leading energy company committed to sustainability and innovation. We offer a dynamic and inclusive work environment, with opportunities for growth and development. Our team is passionate about creating value in trading and financial markets, and we are looking for like-minded individuals to join us.

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