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- Analyze the drivers of the Group's Commodity Value-at-Risk movements using a historical VaR. Run VaR backtests.
- Central monitoring of the risk and P&L of derivative books in the risk systems:
- Monitor option risk with scenario analysis, payoff charts, greeks and other
- Maintain daily P&L and analyze the P&L drivers
- Set up the valuation and modelling of new derivative types in the risk systems if required
- Build new custom risk reports in alignment with risk- and trading teams
- Run and maintain the Group's commodity stress tests
- Trade Surveillance for commodity derivatives: Monitor the trading activity, follow up on signals from the trade surveillance system, and escalate them if needed
- Continuously develop the Group's risk models and risk infrastructure (together with the IT department)
- University Master's degree in quantitative finance/ statistics/ economics/ mathematics or similar education
- Minimum 5 years of work experience in market risk management in a financial institution, commodity trading/sourcing department, or in risk consulting
- Strong statistical knowledge, knowledge of risk metrics, and option pricing
- Advanced Excel skills and experience with advanced calculation tools (Python, R, Matlab or similar)
- A qualification in risk management is a plus (FRM certificate or similar)
- Fluent in English
- Experience in projects as a business partner or project manager is a plus
- Knowledge of commodity futures markets and FX is a strong plus
- Experience in SAP BW, SAP Analytics Cloud or Power BI is a plus
- Ability to drive smaller projects independently and be closely involved in the technical implementation (specification and testing)
- Strong analytical skills
- Curiosity to understand positions and potential risks
- Drive for constant improvements in risk infrastructure and methods
- Hands-on, being able to work with prototyping and manual checks
- High integrity
- Team player and a proactive nature with good communication skills
- Continuous improvement mentality and adaptable to constant change and fast paced environment
- Able to work in cross-functional and multi-country environments
Commodity Risk Manager - Zurich, Schweiz - Barry Callebaut
Beschreibung
About the role
We are looking for a Commodity Risk Manager to model BC's commodity P&L risk from physical and derivative positions using Value-at-Risk, Stress Tests, scenario analysis, and other metrics. It is a critical role in helping the risk team and sourcing teams assess the commodity P&L risk and adjust the hedging strategy if needed. The role is based in Zurich and reports to the Head of Group Market Risk
Key responsibilities include
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