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Quantitative Credit Risk Analytics

3 months ago

Singapore Shell Full time

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 Chief Risk Officer (CRO) was brought into the organisation in March 2020 who is leading the efforts for the second line of defence.

The new Credit Stress Test and Potential Exposure team (referred to as the PFE team) focuses on the delivery of regular and ad hoc risk reporting and portfolio analytics to the commercial teams, the risk management teams and various other stakeholders such as the T&S Leadership Team (TSLT), Shell Executive Committee (EC) and the production of risk information which will flow into external financial reporting. The PFE team partners closely with the Credit team, other Market Risk teams and Shell IT to contribute to the planning and delivery of risk systems/IT change projects.

The Quantitative Credit Risk Analytics based in Singapore will focus on the provision of Potential Future Exposure (PFE), Expected Credit Loss (ECL) and certain elements of Credit Value Adjustment (CVA) analysis for the Asian and European businesses.

Additional support may be provided to the following:

  • Credit team regarding the appropriate calculation of Credit Exposure, Expected Credit Loss (ECL), Credit Reserves and Credit Value Adjustments (CVA).

  • Finance organisation regarding modelling of potential cash collateral obligations from OTC margined transactions.

What's the role?

Successful candidate will be accountable for the following

  • Contributes to the understanding of the design and utilization of methodologies to assess risk/reward of the portfolio, such as, Potential Future Exposure (PFE), credit stress testing, cash margining analysis, Expected Credit Loss (ECL) and Credit Value Adjustment (CVA). They may also work with colleagues on wider risk analytics such as VaR back-testing, P&L stress testing, scenario analysis and market liquidity analysis.

  • Contributes to the pricing libraries managed by the team by supporting quantitative analysis for live trades from businesses in the Asia, Oceania and Europe regions.

  • Supporting quantitative analysis for live trades from businesses in the Asia, Oceania and Europe regions.

  • Ensures process excellence, identifying inefficiencies, inaccuracies or bottlenecks in Risk processes. Ensuring that error-checking is a natural part of all processes so output is ‘Right First Time’.

  • Investigates and manages large data sets, ensuring consistency and quality and build tools to enable the data to be easily accessed by analysts across Risk.

  • Manages the engagement with a large variety of (groups of) stakeholders on an operational level and, at times, contributes at a strategic level.

  • Works under direct supervision of Manager or colleagues for moderately complex activities; given broad guidance on operational activities. Decides which approach they take; however, guidance could be provided by more senior colleagues.

  • Engages in innovative research tasks, support the implementation and development of quantitative solutions for risk management.

  • Identifies areas of improvement when applying the existing methodology and suggests changes.

What we need from you

We are keen to hear from candidates who have prior quantitative risk analytics experience, a desire to work in the commodity markets in which Trading & Supply (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.

Beyond that, we’d hope to see as many of the following on your CV:

  • Exposure to (or experience in) stochastic calculus, derivative pricing, Greeks and similar.

  • 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.

  • Proficiency with Python or other programming languages is required or a willingness and capability to develop these.

  • CQF desirable, but not required.

If you don't see yourself fully reflected in every job requirement listed on the posting above, we still encourage you to reach out and apply. Research has shown that not everyone often applies when they do not feel 100% qualified. We are committed to creating a more equitable, inclusive, and diverse company and we strongly encourage applicants of all genders, ages, ethnicities, cultures, abilities, sexual orientation, and life experiences to apply. We look forward to receiving your application.

Flexible working

We are keen to support flexible working arrangements, subject to local regulations and legislative frameworks. If this is of interest to you, please describe in your application the type of flexible working arrangements for which you would like to be considered (e.g., part-time, job share).

About Shell in Singapore

Shell is an international energy company that uses advanced technologies and takes an innovative approach to help build a sustainable energy future. Here in Singapore, Shell has a long history and is one of the country’s largest foreign investors. It has businesses spanning trading and marketing of liquefied natural gas; refining, trading, marketing and shipping of oil products, lubricants and chemicals; low carbon solutions; and operating a network of service stations through retailers, as well as electric vehicles charging.

An innovative place to work

There’s never been a more exciting time to work at Shell.

Join us and you’ll be adding your talent and imagination to a business with the ambition to shape the future – whether by investing in oil, gas and renewable energy to meet demand, exploring new ways to store energy, or developing technology that helps the world to use energy more efficiently, everyone at Shell does their part.

An inclusive place to work

To power progress, we need to attract and develop the brightest minds and make sure every voice is heard. Here are just some of the ways we are nurturing an inclusive environment – one where you can express your ideas, extend your skills, and reach your potential.

  • We’re creating a space where people with disabilities can excel through transparent recruitment process, workplace adjustments and ongoing support in their roles. Feel free to let us know about your circumstances when you apply, and we’ll take it from there.

  • We’re closing the gender gap – whether that’s through action on equal pay or by enabling more women to reach senior roles in engineering and technology.

  • We’re striving to be a pioneer of an inclusive and diverse workplace, promoting equality for employees regardless of sexual orientation or gender identity.

  • We consider ourselves a flexible employer and want to support you finding the right balance. We encourage you to discuss this with us in your application.

A rewarding place to work

Combine our creative, collaborative environment and global operations with an impressive range of benefits and joining Shell becomes an inspired career choice.

We’re huge advocates for career development. We’ll encourage you to try new roles and experience new settings. By pushing people to reach their potential, we frequently help them find skills they never knew they had, or make career moves they never thought possible.