Job Description

Commodities, Oil and Energy
25 November 2022

Offered Salary

Salary will commensurate with relevant experience

Experience

3 to 8 years

Qualifications

Bachelor\'s Degree

Location

Singapore, Singapore

SUMMARY

Involve close liaison with Middle Office functions in providing Quantitative support - Market Risk, Credit and Counterparty Risk, Internal Audit and Product Control teams and require interaction across the business to maintain a strong control culture.

THE ROLE

Support the Credit, Treasury and Market Risk functions with advanced quantitative expertise and modelling, promoting the sharing of knowledge
Participate into the buildout of an advanced risk and valuation platform for the business, including portfolio analysis, VaR and credit modelling.
Develop and implement a methodology for the estimation of non-observable market parameters required for complex structured deal valuation.
Work with other functions (both internal and external) to ensure that valuation methodologies and processes are reviewed and validated
Provide technical leadership to ensure accurate and appropriate risk identification, measurement and controls process design for the company portfolio
Expert support for the derivative valuation engine, In particular nonlinear deals both structured and vanilla exchange transactions.
Build a culture within the group and the organization recognizing this group as centre of excellence for technical expertise
Lead the development and implementation of a variety of quantitative based solutions to meet business requirements.
Valuate structured transactions, including identifying the risks, building a model, of the valuation and hedge parameters, sharing and getting buy-in of the results with the commercial team leading to successful execution

REQUIREMENTS

Experience in risk management within a commodity trading company or investment bank
Ideally with good knowledge of global commodity markets both physical and derivative products. Specific markets include LNG, Coal and Freight markets, also knowledge of associated financial markets such IR and FX is of advantage.
Understand the deal life cycle process particular as related to option transactions, including booking and expiry processes.
Advanced knowledge of financial derivative and option theory as applied to commodity markets, including

• Stochastic price processes
• Parameter estimation
• Valuation techniques encompassing closed form and monte carlo methods.

Comfortable with a range of Value at Risk methodologies and related risk measures.
Understand mathematical optimization techniques such as those used in portfolio analysis and fundamental modelling.
High IT literate proficiency in a range of development and scientific languages, such as Python (including numpy and pandas), R or MATLAB,
Experience with a classical development language such as C/C++/C# would be an advantage
Experience with the use of and deployment to cloud platforms such as Azure would be helpful.
Advanced expertise with office productivity tools such as Excel and VBA are required

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