Senior Quantitative Risk Analyst

Job highlights

Full time | Johannesburg, Gauteng, South Africa | Quantitative Analysis

Job R Closing date 20/02/2026 Last Updated 29/01/2026 Senior Quantitative Risk Analyst
Risk Department Melrose, Johannesburg

The Glencore Risk Department is an independent function aiming to control front-line trading. The Risk Department ensures that the risk-reward of the trading books is properly understood by Glencore senior management and that the physical exposure of the business is correctly valued. This position requires the candidate conceive and implement models for fair value and to monitor the risk embedded in the company’s portfolio, to perform sensitivity and other relevant risk analyses in order for the Risk function to make sure it stays within the company’s risk appetite.

We are looking for a motivated senior quantitative analyst to join our Risk Department. The ideal candidate will be well versed in financial model creation using various programming languages. The role is based in our office in Melrose, Johannesburg. The Melrose team acts as a service organisation for the Metals, Minerals and Coal Risk team based in Baar, Switzerland.

• Pricing Model Conception and Implementation:
  • Create financial models to value complex structured transactions and products involving physical and implied optionality in the metals space
  • Work with other risk streams (Market/Valuation/Product/Credit Risk) and trading to ensure complex exposures are appropriately captured and represented, considering materiality and resources required to develop the model
  • Participate in the assessment of new businesses and new transactions where modelling might be required
  • Maintain a model library including model documentation, assist with model validation
• Risk Tools Implementations:
  • Work with Credit Risk department for the development of complex derived credit metrics (e.g. PFE) and the ad-hoc assessment of material new transactions
  • Maintain and improve VaR and stress models
• Volatility fitter:
  • Implement and maintain tools for constructing volatility surfaces by best approximating market-based option prices through parametric volatility models
• Miscellaneous Responsibilities:
  • Engage closely with IT and Market Data departments to develop internal valuation tools and implementation of models
  • Provide tactical support with ongoing projects where quantitative skills are required
  • Communicate results effectively with the risk function, trading and senior management

• 7 to 10 years of experience in a quantitative analyst role, in a trading company or financial institution, modelling structured and exotic products (physical and financial), Wiener processes, Turnbull-Wakeman Asian options and similar
• Masters’ Degree or higher in financial mathematics or related quantitative fields
• Experience in commodities (both physical and paper) is preferred
• Excellent coding skills in VBA and Python essential for the role
• Highly numerate, with good problem-solving and analytical skills
• Good communication skills – must be able to understand others’ perspectives and relate complex ideas to different groups, including senior management
• The ability to challenge proposals constructively whilst maintaining excellent working relationships
• Must be able to work effectively with multiple teams, flexibly, handling a wide range of tasks and potential challenges
• Must be capable of working with significant autonomy and ensuring analysis is focused on delivering practical business benefits, often with tight deadlines
• Adaptable, dynamic and organised with a positive and enthusiastic attitude
• Good Team Player that interacts well with stakeholders
• Strong sense of responsibility and ownership and attentive to detail, in a fast-moving environment

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…