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Título:  Market & Credit Risk Supervisor

Fecha: 
Ubicación: 

Madrid, España, España

Empresa:  00L6-CEPSA TRADING, S.A.U

The successful candidate will work within the Market Risks Control unit reporting to the Middle Office Manager.

KEY RESPONSIBILITIES

  • Provide direct supervision of the Market & Credit Risk for all Trading activities and Market Risk for other Business Units (BU) within Cepsa Group.
  • Responsible for the correct monitoring of Market Risk at a consolidated level.
  • Responsible for the correct monitoring of Credit Risk for all Trading.
  • Trading PnL, market exposure, VaR, etc. for all Trading; evolve Market Risk Models (spot and forward) and Metrics.
  • Define and enhance different Credit Risk Models and Metrics (PFE, LGD, PDs, XVAs, Cost of replacement, etc.) for all Trading activities.
  • Coordinate the support and execution of a global platform to publish Trading P&L, Market & Credit exposure, VaR by desk, and produce a consolidated view to report to the senior management.
  • Ensure that all Trading and other BUs comply with their Market Risk limits.
  •  Ensure that all Trading complies with its Credit Risk limits.
  • Monitor and coordinate the efforts and methodology to measure hedging effectiveness for the different hedging programs within the group.
  • Define and lead the development of Market & Credit Risk specific software and tools for trading (ETRM, proprietary databases and tools, specific algorithms,…) and other BUs.
  •  Lead & coordinate the monthly Credit Risk Committee for Trading (Front, Finance, Operation, Operational Risk, Middle Office and Several corporate cross functional departments).
  •  Control Credit Risk related to all counterparties within the portfolio, coordinating the approval of limits by counterparty and its correct implementation.
  • Calculation of current and forward credit exposure, ensuring all exposure is within approved credit limits or covered by credit insurances (LCs, SBLCs, credit insurances, SPGs,...).
  • Maintain and execute the proprietary Credit Risk software and database (TRA).
  • Support Front Office to implement the optimum Credit Risk management solution for each trade.
  •  Responsible to maintain and operate the Price and Market data Repository for the whole group (GDM).


REQUIREMENTS

  • BSc in mathematics, physics, engineering or any other strong quantitative discipline. MSc or PhD in Quantitative Finance will be considered as a plus but not a must
  • Strong understanding of the energy industry, commodity trading or corporate and investment banking. Strong knowledge of derivatives market, both OTC and Exchanges.
  • Proficient in at least one of the following programming languages: C#, C, C++, MATLAB, Python, Java. Proficient in Excel/VBA and high levels of numeracy.
  • Knowledge of control versioning (Git, SVN)
  • Fluent in English.
  • Minimum of 5 years’ experience in trading activities, either front or middle office, within the commodity or banking industry. Prior supervisory experience is not required.


Localización: Torre CEPSA (Madrid)

 

Cepsa vela por la igualdad de oportunidades, identificando y desarrollando todo el potencial de las personas basándose exclusivamente en sus capacidades para el desempeño de sus funciones.

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