Market Risk Lead - QP

, India

Job Family Group:

Finance

Worker Type:

Regular

Posting Start Date:

September 19, 2024

Business unit:

Finance

Experience Level:

Experienced Professionals

Job Description:

Context for role: It is recognised that the size and complexity of Shell Trading & Supply (T&S) has increased substantially over the past few years and the expectations around risk management from a regulatory perspective have also shifted for Energy Trading, for example, with the FCA’s Senior Managers and Certification Regime (SMCR) applying in the UK from December 2019. As a result, and also recognising the potential to unlock additional value from enhanced risk management of our trading activities, a strategic decision has been made to make a major, multi-year investment to strengthen the risk management capabilities of the organisation from a people, process, data and systems perspective in both the first and second lines of defence. A new Chief Risk Officer (CRO) was brought into the organisation in March 2020 who is leading the efforts for the second line of defence and added a number of new roles to the organisation to drive these changes forward.

The Quant Portal (QP) team focuses on the delivery of regular and ad hoc risk metrics and portfolio analytics for the commercial teams, risk management teams and various other stakeholders.

This role’s primary stakeholders are commercial teams and risk managers located in T&S hubs of London, Houston, Rotterdam, Dubai and Singapore as well as risk teams in Finance operations locations in Chennai , Bangalore and Manila. The role focuses on providing pre- and post-deal quantitative market risk analytics to support these teams covering all time zones.

Principal Accountabilities:

• Plan and Conduct the Business-As-Usual analysis and enhancement in the QP application to accommodate the new business actives or the change of market driven by commercial

• Ensure the smooth running of daily risk reporting activities on the QP application and the various tools dependent on the QP.

• Provide ad hoc advanced analytics at a transaction level such as for the calculation of pre-deal exposures (potential future exposure, expected exposure, expected credit loss etc). Transactions can be long-dated and complex, often with embedded derivatives and may extend into illiquid parts of the curve.

• Collaborate with market risk operation team to ensure process excellence.

• Support Commercial and Risk teams to understand and explain the drivers of the change of the risk metrics such as VaR.

• Ensure analytics methods and tools have clear and appropriate documentation.

• Provide leadership and support to Risk colleagues, including the Shell Business Operation (SBO) teams based in Chennai and Manila that support the QP and wider Risk team.

• Contribute as a Subject Matter Expert (SME) to reporting and analytics related projects as part of the transformation agenda within Risk, for example on any future analytics requirements. 

• Act as a centre of expertise for SME’s across Risk, providing ‘thought leadership’ and helping them to interpret the quantitative drivers for the portfolio and specific transactions booked in T&S.

• Partnership with IT organization for expanding their capabilities to support the Shell Finance

• Interface with stakeholders in Shell IT, Commercial, Risk Transformation, and broader Risk etc

Technical/Experience Requirements for the role:

• Proficiency with SAS is required, and SQL, Python or other programming languages is desirable.

• Prior quantitative risk analytics experience desirable, with a deep understanding of at least one commodity market in which T&S operates (e.g. Gas, Power, Emissions, LNG or Oil) and the quantitative risk methods commonly used, including how to apply them and where a simpler approximation might be suitable.

• Solid understanding of the calculation algorithm of Value at Risk using different methodology such as parametric method and Monte Carlo Simulation.

• Good understanding of the sensitivities of deal price such as different greeks and the impact of different greek;

• Be proficient in using SQL query to retrieve data, reading data, and interpreting it.

• Be familiar with using at least one popular Energy Trading Risk Management system such as Endur to discover the market prices and check deal structure.

• Exposure to work in an Agile or Scrum project working environment.

• Exposure to the types of quantitative and data challenges faced in a complex trading environment with multiple ETRM’s and other data sources. 

• Strong communications skills (both written and verbal), including an ability to concisely explain complex concepts to non-specialist stakeholders in terms of intent and application.

• Excellent attention to detail, methodical, organized.

• Resilient when working under pressure, with the ability to prioritise tasks to meet deadlines and exercise good judgement when providing advice, questioning discrepancies and escalating issues.

• Learner mindset: innovative and creative, excellent critical thinking and problem-solving capabilities.

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