Portfolio Risk Analytics Specialist

Portfolio Risk Analytics Specialist

Hours:

Fulltime, 40 hours

Location:

Rotterdam, The Netherlands

The Position

As a Portfolio Risk Analytics Specialist, you will play a key role in the Risk Department by using mathematical and coding skills to transform how we model our real-world business so that we can optimize how we hedge and mitigate risks. In this role you won’t be working on daily reporting tasks but will spend your time conducting research projects to help us understand and model risks.

You will then be expected to turn the results of this research into new analysis tools and models to support decision making and limit risks. Enhancements to existing VaR, Stress Test, and Expected Loss models are a starting point but we are keen to develop further quantitative models and enhance our understanding of statistical methodologies.

You will become the owner of the risk models and the key point of contact for any non-linear risks such as options. Over time you will develop financial models for physical assets such as storage, freight, blending and refining.

This is a unique and highly visible role with regular interaction with senior management, working directly with the VP Risk and EVP Trading. It offers huge learning opportunities and the ability to make a serious contribution in a fast-paced and evolving energy environment.

• Improving existing market risk models such as VaR, Stress Testing and Expected Loss under supervision of VP Head of Risk.
• Developing a statistical method for credit risk analysis to support a portfolio approach to risk management.
• Performing price time series analysis to calibrate the shocks needed for stress testing models, and to inform risk-reward based decision making.
• Back testing and refining these risk models to improve accuracy.
• Building tools to model physical assets such as storage using option theory.
• Advising on the appropriate use of options to hedge our assets and deals.
• Developing exposure reports to summarise our exposure to underlying risk factors.
• Advising on our data and analytics strategy and supporting application development.

• Degree in maths, science, engineering, business, economics or data subject.
• Minimum of 5 years experience in a market risk or quantitative role in a finance or commodities business.
• Understanding of commodities futures and options markets and valuation.
• In-depth knowledge of risk methods such as VaR and Stress Testing.
• Ability to independently produce research into a topic and a model to analyse it.
• Coding skills such as SQL and Python.
• Understanding of FX and interest rate risks.
• Analytical and structured, with strong attention to detail.
• A curious mindset, willing to ask questions and challenge assumptions.
• Reliable, accurate, and well-organised.
• Proactive, motivated, and a strong team player.
• Fluent in English, with strong communication skills.

• Experience working in the physical energy industry, with knowledge of physical trading, refining processes, energy logistics, asset modelling.

• Understanding how and why markets move and explaining these movements in terms of underlying fundamentals. You gain a great view of how physical commodities markets actually operate by working directly with those in the market.
• Learning about biofuels, advanced feed stocks, coprocessing and other cutting edge emission reduction technologies. You make a real impact on carbon reduction.
• Visibility of full value chain optimization of the fuels complex: from crude sourcing, refinery optimization, cargo exports, inland barge and train logistics, biofuel blending, to customer fuel sales.
• Producing novel research and analysis used to support decision making by VP Risk and other senior management. You are in a unique role supported directly by the VP Risk.
• Your ideas, research and tools shape our future and you can make a direct impact on how we run our company.
• An attractive workplace in the office in Rotterdam with development opportunities within an international, corporate environment.
• Attractive salary structures, as well as a (partly) employer-financed pension and bike plan etc.
• Fun and supportive team environment that welcomes you to several social events.