Shell | Hiring | Model Validation Analyst – Market Risk | BigDataKB.com | 2022-09-11

Job Purpose

Shell Trading and Supply is the world’s largest energy trading business and operates in every major energy market around the world. It supports the Shell group businesses by trading natural gas, electrical power, crude oil, refined products, biofuels, chemical feedstocks, freight, and environmental products. Shell Trading and Supply also manages one of the world’s largest fleets of liquefied natural gas carriers and oil tankers and provides maritime expertise and logistics to Shell companies and external customers. Our aim is to create value for Shell’s shareholders, customers and counterparties across the globe by forging successful partnerships that generate mutually beneficial commercial opportunities.

Market Risk: The Market Risk department is a specialized unit in Finance Operations that operates in the Chennai and Manila centers. The team has front line responsibility for risk measurement; deal valuation, exposure reporting and price validation. The department pulls together a range of expert skills that ensure accurate and timely reporting, and allow us to offer professional advice on the wide range of issues that the department gets involved in. We are interested in attracting people to our business who share our core working values of honesty, integrity and respect for others. We also want those who can build on our business vision, are prepared to accept accountability and can achieve great results through teamwork.

Market Risk Chennai: The Market Risk department in Chennai is an exciting and growing team in Finance Operations. The team has been continuously absorbing newly migrated activities over the last seven years with continued growth and more complex work will continue to be absorbed into the teams.

The Model Validation team is responsible for providing assurance activities on models owned by Risk and used within the trading books, the Model Validation Analyst reports to the Global Process Manager Market Risk. The candidate will need to be comfortable with working independently with limited supervision at times, and be able to thrive as part of a global team with members in the US, UK, Netherlands, India and Singapore.

The purpose of the role is to independently validate the models used by the Risk organization for the quantification of risks that are present within the trading portfolios. These models include VaR, stress testing, liquidity analysis, options, and the models used to value physical assets such as storage, pipelines and transmissions. The longer term goal is to provide an independent validation service for the models used by Front Office teams in their day to day work and for assessing new businesses.

The role also involves collaborating with and providing advice to others in the global Risk organization. This includes Market Risk Managers, Valuation, Quantitative Analytics, Operational Risk and Risk Management Operations.

The role works closely with other teams in the trading business with regular discussions with Front Office, Finance, Compliance and Back Office, and a focal point for model related queries from across the Shell group.

Responsibilities

• Drive understanding of the design and utilization of methodologies to assess risk/reward of the portfolio, including VaR back-testing, stress testing, scenario analysis, liquidity analysis.
• Develop, test, run and validate quantitative models that simulate real world businesses and assets.
• Work closely with the Valuation and Quantitative Analytics teams to understand and model embedded physical optionality and how optimization of physical portfolios changes exposures.
• Understand and explain changes in VaR by breaking down the impact by its underlying drivers, and ensuring that the VaR accurately reflects the positions taken and volatility of the relevant market.
• Design testing and validation regimes for VaR models to ensure that they are as accurate as possible, and any underlying assumptions or inaccuracies are documented and explainable.
• Ensure that fair economic value principles are followed within models used by Risk, including providing modelling support and challenge with stakeholders on valuation inputs and parameters.
• Ensure that all exposures generated from modelled positions or assets are fully understood and that these exposures and resultant P&L are properly evaluated, validated and analysed.
• Produce ad-hoc analysis to explain P&L or exposure changes generated by the models to Risk Managers, assist them with queries and requests for input data or parameter changes.
• Provide detailed analysis and documentation of methods, techniques, and findings. Well documented processes enable team members to build new achievements upon earlier work.
• Ensuring that error-checking is a natural part of all processes so output is ‘Right First Time’.
• Ability to solve real world business problems using quantitative and computational techniques.
• Investigate and manage large data sets, ensuring consistency and quality. Build tools to enable the data to be easily accessed by analysts across Risk. SQL and Python are the preferred languages for accessing and manipulating datasets within Shell.
• Promote a culture of continuous improvement by having the courage to challenge established processes. This includes identifying inefficiencies in local and global operations and opportunities to streamline and automate shared processes and interfaces.

Competencies

• Team player, good interpersonal skills. Flexible to work with colleagues across numerous time zones with both Market Risk at the Trading Hubs in London, Rotterdam, Houston, Dubai and Singapore; but equally the Business Operations centers in Chennai, Manilla, Bangalore.
• Excellent communication skills; the role will require writing documentation, research reports, new policies, and presenting analysis and insights to senior stakeholders. Due to the global nature of the business the role requires communicating using different methods, in a variety of formats, to people in many countries.
• Ability to articulate and communicate complex scenarios and ideas in a clear and concise manner whilst understanding the perspective and experience of others. Ability to challenge sensitive issues constructively whilst maintaining working relationships.
• This is a role for a person who brings diversity of thought, who is not afraid to speak up and who is comfortable challenging senior stakeholders.
• Proactively identify and communicate potential issues with the appropriate teams or stakeholders. Making sure problems raised are followed up and worked on until completion.
• Able to collaborate and produce good quality output working with colleagues in different teams who report to different managers.

Additional Job Description

Requirements

• Degree in Business, Economics, Mathematics, Science, Engineering or IT; or relevant workplace experience in the energy trading industry.
• Experience within a trading, financial or risk management organization, including an understanding of financial modelling.
• Understanding of financial, commodity and energy markets; derivative instruments, and hedging.
• Experience in scripting languages which enable data gathering and transformation such as Python or R. Other scripting languages such as C#, Java, Matlab also considered.
• Experience writing code to retrieve datasets from structured databases using SQL / Oracle.
• Intermediate to Advanced Excel skills; such as pivot tables, lookups, VBA macros.
• Experience with Endur, DEX or comparable energy trading risk management system is preferable.
• Reliable, dependable and disciplined. Excellent attention to detail, methodical, organized. A trusted partner of the business.
• Resilient when working under pressure, with the ability to prioritise tasks to meet key deadlines.
• Good judgement to provide advice, question discrepancies, escalate issues.
• Continuous improvement mindset; utilizing tools to streamline and automate work to boost efficiency.
• Scientific mindset; identify, investigate, analyse, research, discuss, record, and resolve issues.
• Learner mindset; innovative and creative, excellent problem-solving capabilities.

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