The Senior Quantitative Risk Analyst has two broad objectives. This role will manage the SAS system and Corporate Risk’s access to the Risk database schema, providing technical support to the market risk function. The role will enforce technical standards and best practices for delivering high quality enterprise solutions that satisfy business needs. The role will be responsible for data management. The role will also contribute to the production of key risk measures and analytics including exposure reporting, performance reporting, VaR, stress modelling, scenario analysis and the overall development of Corporate Risk’s market and credit risk metrics and will be directed by the Director, Quantitative Risk in this endeavor whilst also providing high quality technical advice. The role will work closely with its IT counterpart to ensure compliance with technical standards & processes, and alignment with various cross-functional groups.
This role performs a critical function in supplying the system capability, data, tables, analytics, risk-metrics and reports required by the Corporate Risk group and is therefore fundamental to providing global governance and ensuring the efficient deployment and utilization of risk capital in a controlled environment.
- Work with the Director, Quantitative Risk and the Senior Manager, Portfolio Risk & Reporting and other personnel to ensure accurate analysis and reporting of market risk exposures
- Play an integral role in the development and management of daily system processes
- Take a lead role in the data management and table design in risk database schema
- Play a lead role in the development of the SAS risk analytical engine
- Play an integral role in the improvement/development of risk metrics and reporting
- Work with key trading staff to ensure accurate valuations/price mappings of all commodity exposures (linked to the Position Server Project and the Fair Value Project)
- Work with key quantitative staff to improve the added value of the global risk and performance metrics
- Working across a large array of commodities and markets (physical and derivative)
- Build working relationships with front office traders and senior staff
- Working across a large array of commodities and markets (physical and derivative) Provide strategic thought leadership and key inputs with respect to the organization’s daily processes and future requirements for risk and data systems
- Analyze code, test, debug, and document programming in SAS and Oracle SQL to satisfy Corporate Risk requirements
- Build and enhance Quantitative Risk models in the SAS Risk Engine as directed by supervisor.
- Design and organize risk database schemas as directed by supervisor to ensure position and market data are properly organized to perform risk analysis
- Enhance the SAS Risk Engine risk database schemas to resolve errors or improve accuracy.
- Collaborate with systems integration lead to manage integration of SAS and Oracle database with the source systems
- Ensure consistency of Oracle data and SAS models used across PLs and value chains. Ensure models and all enhancements are accurate, understood and consistent with industry best practice
- Ensure the flawless production of risk metrics and market risk reports in a timely manner. Ensure that deadlines are met
- Ensure processes and reporting accurately reflects the level of risk in the portfolio and captures all known exposures. Enhance/modify the risk metrics as directed by supervisor
- Analyze the trends in the risk metrics to identify drivers and to ensure quality control of output
Nearest Major Market:
- Advanced degree in Quantitative Finance/Methods/ Mathematics/Statistics or equivalent experience required
- Minimum of 5 years’ experience in a market risk technical role in the financial and/or physical commodities markets space preferably for a company with a large global footprint, crushing operations and substantial experience in working with front office personnel
- Must have solid understanding of SAS risk engine's internal architecture and intimate knowledge of SAS programming and control tables
- 5+ years of relevant development life cycle experience in SAS application development
- Minimum 3 years of hands-on experience with implementation of market risk models or systems
- Minimum 3 years of hands-on working experience with SAS Risk Dimensions
- Database platforms like Oracle, Teradata, DB2, and MS SQL
- SAS Base, SAS Datasets, SQL, SAS Connect, SAS Macros.
- Familiarity with relational databases (Oracle preferred) and stored procedures.
- Understand data models and must have good data analysis skills.
- ETL concepts and data quality controls.
- Knowledge of systems architecture and integration standards
- Experience in implementing quality guidelines, standards, and procedures.
- Proven ability to help resolve issues for any application production problems.
- At least 5 years of experience in risk management, particularly in commodity markets
- Deep understanding of commodities markets (e.g., agricultural commodities including grains, oilseeds, softs and energy), ocean freight, foreign exchange and interest rate/credit derivatives
- Deep understanding of physical trading, freight markets, exchange traded and over the counter derivative instruments (vanilla and exotic)
- Expert working knowledge of value at risk and stress testing techniques
- Expert knowledge in pricing and valuation techniques
- Solid experience in the application of riskmetrics in a practical trading environment
- Experience in computer programming, Tableau & Morningstar
- Excellent communications and presentation skills. Strong ability to liaise between subject matter experts and senior management/trading staff
- The successful applicant with be a strong, results-oriented, team player. He/she will have demonstrated an ability to lead the discussion and take the initiative
- Ability to work under pressure and meet deadlines
- Some domestic/international travel may be required from time to time
- From time to time the successful applicant may be required to work outside of standard working hours
Quantitative Analyst, Risk Management, Agricultural, Developer, Database, Data, Finance, Agriculture, Technology