About us
Gazprom Marketing and Trading is the global trading arm of Gazprom, the world’s largest producer of Natural Gas. GM&T is growing extremely rapidly, in order to support our sustainable growth and success; we require world class trading and risk management capability.
Role objectives
This role is responsible for building and validating quantitative models to value energy contracts and assess risk.
Duties & Responsibilities
Developing, in co-ordination with commercial and Risk Management teams, quantitative risk management methodologies and metrics that meet the requirements of the global business (VaR metrics, Earnings-at-Risk metrics).
Validating the models developed in the Front Office or elsewhere within GM&T that have a risk or financial reporting impact (Excel / VBA, plus potentially C# and /or Python)
Developing generic and bespoke risk management models (valuation models, VaR models, including Monte-Carlo VaR, stress test models) across all markets and locations using Excel/VBA, and ideally also C# and/or Python. This is likely to span:
Multiple commodities including LNG, gas, power, oil, FX, carbon, coal
Linear products and products with significant optionality
Developing curve methodologies and validating curve methodologies (interpolation etc)
Proactively identifying future quantitative risk modelling requirements to support planning by the Head of Market Risk
Skills & Competencies
Understanding and use of corporate risk management practices with an emphasis on market risks
Understanding and use of risk reports (e.g. Value at Risk) and their role within corporate governance
Advanced user of Excel (pre-requisite), pproficient coding skills in VBA (pre-requisite) and C# (preferred) or Python (preferred)
Ability to use mathematical models to price energy products
Ability to produce market risk exposure position report
Very strong analytical and numerical skills
Ability to communicate the principles and results of quantitative analysis to non-quants
Strong desire and ability to learn new skills
Pro-active in achieving results
Able to cope with rapid business growth and pressurised environment
Able to work as part of a team as well as individually
Diligent and reliable
Experience
Prior work experience building models for transaction valuation, financial exposure calculations and/or Value at Risk methodologies
Energy Market Risk Experience for multiple physical and financial commodities including gas, power, LNG, carbon, foreign exchange, oil, coal, and freight is highly desirable. However, we will consider candidates who have trading risk experience from non-commodity backgrounds (e.g. bonds, equities)
Education
Minimum degree in a financial or numerical related subject
Candidate is also likely to have a post-graduate qualification in a financial or numerical related subject, but this can be substituted with appropriate skills and work experience