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Quantitative Market Risk Analyst

hace 1 mes

Madrid, Madrid, España Cepsa A tiempo completo
Job Summary

We are 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 be responsible for analyzing, managing, and preventing risks associated with the activities of CEPSA Trading.

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.
Identify, measure, and aggregate market, credit, and other financial risks.
Understand and measure risk through appropriate practices and processes.

Risk Evaluation and Mitigation

Responsible for 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.
Ensure compliance with Market Risk limits for all Trading and other BUs.
Evaluate and mitigate enterprise and business exposures across CEPSA Trading.
Identify key and emerging risks.
Assess alignment with the CEPSA ́s risk strategy and appetite.

Financial Modeling

Define and enhance Market Risk Metrics around VAR, Stress Testing, Drawdown, Volumetric Risk Measures etc.
Contribute to modeling financial risk, including cashflow/liquidity forecasting.
Define and enhance various Credit Risk Models and Metrics (including PFE, LGD, PDs, XVAs, Cost of Replacement, etc.) for all Trading activities.
Research and collect data relevant to stress testing and financial risk analysis.

Data Management and Analytics

Properly store, manage, update, and document data sources according to CEPSA Group standards.
Merge multiple datasets and transform data for analytics.
Create 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.
Review model calibration throughout the life cycle of complex deals as market conditions change.
Back-test models for validation purposes.
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).