Caravela Energy Partners is a specialist hedge fund focused on gas, power, and emissions markets, with offices in Connecticut (USA) and Zug (Switzerland). The firm employs a fundamental, data-driven approach to energy markets.
We are seeking a Quantitative Market Risk Manager to lead the measurement and mitigation of market risk across our commodities portfolio (gas, power, and LNG). This role will bridge the gap between quantitative modeling and real-world trading, ensuring that our risk frameworks—including VaR, stress testing, and liquidity metrics—are robust, transparent, and aligned with our risk appetite.
Team
European Power and Gas Trading
Key Responsibilities
Risk Modeling & Frameworks: Develop and enhance models for calculating Value-at-Risk (VaR), Expected Shortfall (ES), and P&L attribution across physical and financial products.
Stress Testing & Scenario Analysis: Design and implement extreme but plausible stress scenarios (e.g., geopolitical shocks, supply disruptions) to identify tail risks not captured by standard models.
Exposure Monitoring: Monitor Greeks (Delta, Gamma, Vega), basis risk, and curve exposure on a daily basis, ensuring all desks operate within mandated limits.
Valuation & Methodology: Oversee the valuation of complex derivatives and non-linear instruments, ensuring internal pricing models are consistent with market conditions and liquidity.
Process Automation: Develop and maintain Python-based tools to automate risk reporting and data visualization, improving efficiency and reducing operational risk.
Quantitative Analysis: Model price dynamics, relationships between fundamental drivers and prices, and develop forecasts for both prices and underlying fundamentals.
Requirements
Education: Bachelor’s or Master’s degree in Computer Science, Statistics, Applied Mathematics, Engineering, Finance, or a related quantitative discipline.
Programming: Strong programming skills in Python and SQL; experience with additional languages is a plus.
Derivatives Knowledge: Solid understanding of Black-Scholes, Monte Carlo methods, and option Greeks, with application to commodity markets.
Experience: 3+ years of experience in a risk or quantitative role within a utility, trading house, hedge fund, or investment bank.
Analytical Rigor: Ability to challenge assumptions and pricing models with data-driven analysis.
Communication: Ability to clearly communicate complex risk concepts to non-technical stakeholders, particularly in volatile market conditions.
Attention to Detail: High level of accuracy and discipline in limit monitoring and risk reporting.
What we offer
High-visibility role with direct impact on portfolio construction and capital allocation.
Access to advanced technology and high-quality market data.
Competitive compensation with performance-based incentives.
Collaborative, flat team structure.
Office located in the heart of Zug, a short walk from the train station.
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