Natural Gas and Power Trading Risk Management Analyst

At Repsol, we are committed to equality and do not request personal information.

Repsol is a global energy company present throughout the whole energy value chain. The company employs more than 25,000 people and its products are sold in more than 90 countries, reaching 10 million customers. Repsol is a producer of natural gas and crude oil and has one of the most efficient refining systems in Europe. Repsol also operates low-emissions power generation assets, such as photovoltaic and wind power projects.

The Risk Management Analyst monitors and interprets measures of economic performance as well as market risks with respect to Repsol's North American Natural Gas and Power trading activities. This role is also responsible for market analysis, developing valuation models, and short- and long-term position monitoring. This role is strongly recommended for an analytical individual with a solid interest in both physical and financial gas and power trading, and the desire to grow in a commodity trading environment. The successful candidate is a proactive individual, with high analytical capabilities, and a hands-on personality.

Responsibilities

The Risk Management Analyst will be primarily responsible for and contribute to:

• Generating timely and accurate daily and end-of-month P&L along with market risk exposure reports.

• Prepare and communicate daily market briefs to the Risk organization.

• Support the execution of trade controls and engage with traders on market risk and valuation changes of physical and derivatives trading positions.

• Assist in the development, maintenance, and enhancement of valuation models for structured products and exotic derivatives, utilizing techniques such as Least Squares Monte Carlo (LSMC) in R/Python.

• Support the implementation and maintenance of quantitative risk models including Monte Carlo VaR, stress testing, scenario analysis, and dynamic volatility forecasting (GARCH, EWMA) using R/Python.

• Perform VaR backtesting and model validation, documenting findings for model improvement

• Support the review of contracts and engage with traders to ensure accurate risk capture and valuation of trades in the ETRM system.

• Communication and dialogue with other business areas (Front Office, Back Office, Process Support, Accounting, Corporate Risk, Contracts).

Required Qualifications

• The legal authorization to work in the US for any US employer.

• Bachelor's degree or higher in an analytical and numerical subject, preferably in Mathematics, Engineering, Finance, Computer Science, or Quantitative Finance.

• Strong quantitative and analytical foundation with exposure to stochastic modeling, Monte Carlo simulation, time series analysis, and derivatives pricing concepts.

• Experience in an energy-commodities trading environment, i.e. understanding of market risk concepts is a plus.

• Excellent ability to gather, analyze and synthesize information.

• Strong analytical problem solving and data analysis skills, with attention to detail.

• Proficiency with R and/or Python for quantitative analysis, including familiarity with libraries such as NumPy, SciPy, Pandas, statsmodels (GARCH/time series), scikit-learn (machine learning), and quantitative finance packages.

• Proficiency with MS Excel, VBA, SQL, and Tableau.

• Proficiency in English. Spanish is a plus.

Desired Qualifications

• Experience with ETRM systems (ideally Allegro) and with quantitative risk tools.

• Experience in risk modeling/developing risk models/analyzing structured transactions.

• Exposure to real option valuation techniques (e.g., Least Squares Monte Carlo) for valuing structured products such as gas storage, tolling agreements, and swing options.

• Knowledge of VaR methodologies and model validation including backtesting techniques.

• Experience with volatility forecasting models such as GARCH, EGARCH, or exponentially weighted moving average (EWMA) techniques.

• Knowledge of energy market fundamentals, including gas and power forward curves, volatility surfaces, and correlation structures.

Repsol is an Equal Opportunity Employer M/F/Disability/Veteran

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