Quantitative Risk Analyst

  • Competitive base and bonus
  • Paris, Ile-de-France, France
  • Permanent, Full time
  • Non-disclosed
  • 23 Sep 16

SAIPOL – (Avril Oilseeds Processing Group) – is in the process of expanding its oilseeds trading activities and has performed an end-to-end enhancement of its middle office / risk management activities. As part of the new risk management activities implemented, a quantitative risk management analyst will be needed to mainly manage a central Risk Management Model which includes:

  • Extraction of Trading Transactions from SAIPOL trading Systems & Tools – transactions include physical Buys & sell contracts of all oilseeds commodities (e.g. rape seed, rapeseed oils, soybean oils, sunflower meals, biodiesels, etc) and paper contracts (futures, forwards, options, swaps, swaptions, other OTCs)
  • Adjustments of Trading Transactions to ensure transactions are categorized in the right group of activity (Trading portfolio, book, strategy)
  • Calibration of risk calculation parameters such as correlations, volatilities, statistical interval, using historical weighted averages, exponential weighting or other specific adjustments
  • Calculations of risk analytics KPIs such as Trading volumetric positions, P&Ls, Value at Risk (VaR) reports, Stress Tests per Trading Portfolio, Book and Strategy
  • Collection of trader comments to justify changes in Risk analytics KPIs based on new transactions

The Quantitative Risk Analyst’s main responsibilities will be to:

  1. Manage the end-to-end risk analytics reporting process from transactions extractions to reporting, leveraging the Risk Management Model
  2. Maintain the Risk analytics model and perform adjustments and upgrades to the model as needed (excel, access, VBA) such as adding new reporting templates, adding new products, updating some configuration parameters, automating some risk scenarios
  3. Support the development and automation of P&L reporting process (currently managed by a number of spreadsheet reports) for Avril Oilseeds Processing Trading Desks to improve execution speed, reporting efficiency and reduce risk of errors
  4. Develop Custom Stress-tests / Risk Scenarios upon the request of the head of Middle Office to support specific analysis needed for risk committees or market review meetings
  5. Develop Custom Risk Analytics Reports for management teams which may bridge information from Risk Metrics, Market Prices, historical P&L performance for selected Trading Desks, Books or strategies
  6. Support day-to-day P&L reporting and P&L analysis of SAIPOL trading books

The Candidate’s main experience and profile requirements include:

  • A minimum of 3-5y experience in Consulting, Audit, Finance or Trading industries with significant exposure to financial data/KPIs manipulation and commodities trading data manipulation to develop financial or risk analysis
  • Knowledge of Market Finance for commodities (instruments – e.g. swaps, options, futures, mark-to-market methodology, general parameters)
  • Knowledge of Commodity Market Risk Management (VaR/Stress methodology, calculation logic, reporting)
  • Advanced proficiency on Excel, Access & VBA coding (Additional programming or modeling experience would be a distinctive advantage)
  • A self-driven and entrepreneurial personality with eagerness to contribute to a team-oriented environment
  • Strong Communications Skills (written presentation & orals) and confidence in presenting to senior executives
  • An undergraduate degree in a relevant subject from a leading academic institution(preferred undergraduate degree in Sciences or Engineering or Finance or Economics – Master Degree is preferred)
  • Language: French, English

Position is based in Paris Office of SAIPOL and will report to Head of Middle Office