Senior Model Risk Analyst

Reference Number: HRR0001057
Location: Melrose Arch, Johannesburg, South Africa
Department: Risk function
Reporting to: Product Risk Lead

JOB PURPOSE:

The Senior Model Risk Analyst is responsible for ensuring that Glencore Energy complies with our Model Risk Governance and to ensure that our models perform as expected throughout their life cycling, that we identify limitations of our model and perform adequate monitoring of those or resolution. This position is instrumental in ensuring that we adhere to our governance on models, identify any shortcomings in our models, document our reviews, work with the Quant Risk team to define resolution & / or monitoring of our limitations. In addition, the Senior Model Risk Analyst will build further knowledge on the models, the asset dynamics, trading strategy and will periodically recertify / affirm the model changes in line with market dynamics changes, life cycling and new business opportunities. This role involves a regular interaction with the Quant Risk team who define and implement the models used for valuation.

The role involves extensive collaboration with Quant Risk team, Senior Risk Managers, Market Data team, Structuring team, and other stakeholders with the organisation, to ensure that models are robust, well-documented, challenged and remediated when necessary.

GENERAL ACCOUNTABILITIES:

• From the model inventory and periodicity of review perform full recertification of the model representation and performance or affirmation of the model parameters updates as governed by the model document.
• Model scope covers trade models (optionality, complex optionality, physical optionality, etc), curve models (marking models), valuation models (Black Scholes Merton, Spread options et.), Risk Models (Liquidity model, RAL model, PFE model, etc)
• Identify the model risks as part of the model certification review.
• Challenge the model assumptions where necessary based on the lifecycle of the model.
• Design materiality assessments and monitoring with Quant Risk team when some limitations can’t be addressed in the model
• Develop a holistic approach in the model representation where some aspects can be mitigated through representation outside the model
• Develop a thorough understanding of physical operational constraints and be able to see how these are represented – when necessary – in the model representation.
• Propose limitations and discuss the resolutions with the Quant Risk, Business and Product Risk depending on the resolution type (booking, marking etc)
• Perform performance review of the model as per the tests defined in the model (convergence tests etc)
• Ensure proper documentation, version control, and validation of models to maintain a clear audit trail
• Prepare reports and presentations for senior management, auditors, and regulatory bodies regarding model risk, performance, and compliance.

Candidates who would excel in our environment

QUALIFICATIONS:

• Bachelor’s degree in quantitative disciplines such as Economics, Mathematics, Actuarial Science, Statistics, or Financial Engineering
• MSc Finance/Financial Engineering ideally desired but not required
• Additional qualifications such as CQF ideally desired but not required

WORK EXPERIENCE & SKILL REQUIREMENTS:

• A minimum of 3-7 years of experience in model risk management, validation, and control
• In-depth knowledge of regulatory frameworks (IFRS) relevant to IFRS, PRA and global standards.
• Experience with risk modelling tools (e.g., Python) and model validation methodologies.

COMPETENCIES:

• Python and object-oriented coding
• Proficiency in quantitative analysis, financial modelling, and statistical techniques.
• Methodical, structured and self-driven
• High level of accuracy and details understanding whilst able to understand the intricacies of different review levels based on the models’ complexities.
• Strong written and verbal communication skills, with the ability to present complex model risk findings and propose resolution pragmatically in taking into account the organisational setup.
• Ability to work in cross-functional teams and collaborate effectively
• Ability to work under pressure in a fast-paced and highly regulated environment.
• Flexibility and willingness to adapt to changing regulatory and business needs.

How to :
Please on the Careers Portal: Applications Close:
Overview - Workday (myworkday.com) 01 November 2024

This vacancy will be filled in line with the Employment Equity Plan of Glencore. By ing for this position, you consent to Glencore collecting, storing, using, destroying, and processing in any other manner personal information for purposes of attending to this advertisement, and/ or all matters relating thereto, including the disclosure to third parties of such personal information for purposes of confirming such personal information. In the event you do not hear from the Company within 21 days after the closing date of applications, please consider your application to have been unsuccessful. The CVs of unsuccessful candidates will not be returned.

Note*: All applications will be subject to potential background checks. You will be informed if this will be the case. the data

Who we are

Glencore is one of the world’s largest global diversified natural resource companies and a major producer and marketer of more than 60 commodities that advance everyday life. Through a network of assets, customers and suppliers that spans the globe, we produce, process, recycle, source, market and distribute the commodities that support decarbonisation while meeting the energy needs of today.
With over 150,000 employees and contractors and a strong footprint in over 35 countries in both established and emerging regions for natural resources, our marketing and industrial activities are supported by a global network of more than 50 offices.

Glencore’s customers are industrial consumers, such as those in the automotive, steel, power generation, battery manufacturing and oil sectors. We also provide financing, logistics and other services to producers and consumers of commodities.
Glencore is proud to be a member of the Voluntary Principles on Security and Human Rights and the International Council on Mining and Metals. We are an active participant in the Extractive Industries Transparency Initiative.

We will support the global effort to achieve the goals of the Paris Agreement through our efforts to decarbonise our own operational footprint. We believe that we should take a holistic approach and have considered our commitment through the lens of our global industrial emissions. Against a restated 2019 baseline, we are targeting to reduce our Scope 1, 2 and 3 industrial emissions by 15% by the end of 2026, 25% by the end of 2030, 50% by the end of 2035 and we have an ambition to achieve net zero industrial emissions by the end of 2050, subject to a supportive policy environment. For more information see our 2024-2026 Climate Action Transition Plan and the About our emissions calculation and reporting section in our 2023 Annual Report, available on our website at glencore.com/publications.