Model Validation Analyst
Where you fit in
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.
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 Head of Market Risk Management, but will be supported and supervised by the Senior Model Validation Analyst in Houston.
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.
What’s the role
We’ll be looking to you to provide direction across multiple financing activities and businesses. As our ‘voice’ of Finance, you’ll quickly understand and guide on the best solutions that will achieve business objectives, add value and drive effective risk management. With an ever-changing business environment, your insight and experience will be essential to prioritise activities according to opportunity and risk.
More specific responsibilities include:
- 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. Derive the optimal operation of that asset, and the valuation and exposure generated from that optimization.
- 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 , coordinating across the global risk managers to ensure consistent application. This includes 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 prior to any income being reported.
- Produce ad-hoc analysis to explain P&L or exposure changes generated by the models to Front Office, 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.
- Provide independent advice and guidance on the accuracy and applicability of models used by risk and the Front Office.
- 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.
- Ensure that Market Risk fulfils its role as an independent “check and balance” function and is viewed as such by other parts of the organization.
- 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.
- Strong stakeholder engagement skills, having the self-confidence to challenge traders on deal bookings, valuations, exposures, assumptions.
- 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.
- Working closely with the Credit and other Risk teams to ensure trading risks and returns are fully understood, captured and challenged where necessary. This will also include longer term risks, inherent in contracts such as, but not limited to, storage, pipelines, cross-border transmissions, tolling agreements.
- 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 centres in Chennai, Manilla, Bangalore.
- The role works closely with risk analysts in all parts of the risk management department including a significant Business Operations component. The incumbent is tasked with ensuring that the business that they cover is widely understood and that any changes to it or the supporting risk management framework are communicated properly to all stakeholders.
- Ability to coach and mentor team members as well as members of other teams who require knowledge or skills that Risk can provide.
What we need from you
We’re keen to speak from individuals with experience within a trading and risk management organization, including an understanding of trading, risk and financial modelling. You’ll also call on your degree in Business, Economics, Mathematics, Science, Engineering or IT; or relevant workplace experience in the energy trading industry.
We also hope your CV will show as many of the following as possible:
- Understanding of financial, commodity and energy markets; derivative instruments and hedging techniques
- 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 and ability to fully leverage its functionality
Be able to demonstrate the following skills:
- 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
Shell started operations in the United Kingdom more than 110 years ago. Since then we have grown into a leading innovative oil and gas company that rewards its employees by investing heavily in their careers and learning. Our people are our greatest asset, and our commitment to your career will see you thrive in a work environment that offers an industry-leading development programme. When your ideas travel, Shell will benefit and innovation will thrive. Shell has a key role to play in helping meet the UK’s growing energy demand, whilst using innovative technologies to develop cleaner energy. We are the largest FTSE 100 company in the UK by market capitalisation, and make a significant contribution to the UK economy. As well as processing 35% of the gas coming into the UK, we serve more than four million customers at our filling stations each week. Shell employs some 6,400 skilled staff as well as many contractors.
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