Senior Market Risk Specialist

2 months ago

Sacramento, California, United States Sacramento Municipal Utility District Full time
Purpose

To perform portfolio risk assessment by providing technical analysis and review of physical and financial power purchase options and hedges and alternative power production, correlations between energy prices and other variables, financial and commodity market futures prices and basis differentials and profitable opportunities in the medium-term wholesale energy market to ascertain the trade-off between profitability and cost stability, provide practical and feasible risk-neutral, cost effective energy trading solutions, and support SMUDs ability to manage its energy portfolio and financial risk.

Nature and Scope

Serves as a technical or functional expert or consultant providing expertise and/or direction in one or more areas of a professional discipline and assists in resolving complex problems and working on complex projects. May assist in developing lower level personnel.

Duties and Responsibilities

  • Synthesizes energy risk management and portfolio optimization theories and techniques with market results by evaluating the risk characteristics and market value of physical and financial power and gas purchases and sales to SMUD; and developing the risk/profit trade-off associated with changes in the operation of SMUD owned and/or controlled power plants. To assist in providing market and risk evaluation of physical and financial options and hedges.
  • Estimates the risk premiums embedded in retail energy sales contracts to support SMUD rate design efforts. To assist in quantifying the premium value to assign to risk in designing rates for retail energy sales contracts.
  • Coordinates data capture with various SMUD units and develops and maintains a database of future, current and historical bulk power and gas prices and data related to other variables having an impact on bulk power and gas prices. To ensure the capture and availability of historical, current and future bulk power and gas rates and variables for modeling of pricing and SMUD rate design.
  • Model retail contracts and evaluates their impact on SMUDs overall risk exposure. To ensure assessment of retail contract impact on SMUD risk exposure.
  • Applies statistical and mathematical techniques to market data to analyze pricing trends and volatility. To ensure analysis and extrapolation of market prices and volatility to model SMUD risk.
  • Performs the technical analysis needed to estimate the risk characteristics and value to SMUD of alternative power supply and retail contract options. To ensure that physical and financial options and hedges are examined for value to SMUD risk.
  • Develops and provides effective reports and presentations for management of findings of analyses and evaluations of various market, portfolio and economic factors to support management decision making and formulation of risk management policies. To ensure timely, accurate management reporting of market risk assessment findings to support SMUD decision making and policy formulation.
  • Maintains technical skills by keeping current in energy and financial commodities trading techniques; understanding the financial and risk implications of current and emerging bulk power and gas issues; tracking changes in power and gas markets and industry or regulatory restructuring; and maintaining knowledge of SMUD portfolio optimization and related policy decisions. To ensure that in-depth and state-of-the-art technical expertise is available for market risk assessment to ensure SMUD financial protection.
  • Assists in planning, coordinating, prioritizing, monitoring, and guiding work activities with work-unit employees to meet established task objectives and deadlines by following established policies and precedents; communicating with team members and incorporating and their input to processes and techniques; promoting staff safety and a safe work environment; participating as a team member in accomplishing objectives; and referring problems to supervision where solutions are not readily achievable. To participate in assigned tasks of a work unit in order to meet defined unit goals and schedules and comply with SMUD schedule, quality, quantity, safety and performance standards.
  • Performs related duties as required.

Required Education

  • BS/MA degree from an accredited college or university majoring in Economics, Engineering, Business Administration, Mathematics, Statistics or related field or equivalent experience. If no degree, nine (9+) years of relevant experience is required.

Required Experience Qualifications

  • At least five (5) years of progressively responsible relevant work experience in a combination of resource/portfolio planning, pricing, contract analysis, operations, finance, engineering, energy trading, energy marketing or related fields.

Knowledge Of

SMUD policies, procedures, applicable MOUs and other special agreements; energy or financial commodities trading; financial and physical commodity markets and practices; electric power industry at an advanced level; WSPP power markets; restructured California power markets; California ISO, FERC and other applicable regulatory rules and procedures; physical generation resources and their operation; utility scheduling and trading practices; micro-economics and quantitative and statistical methods; decision analysis portfolio optimization, operations research and options pricing; safety policies, practices and procedures; standard operating procedures for modern office equipment including a computer and applicable software; and, English grammar, punctuation and vocabulary standards.

Skills To

Develop advanced quantitative analytical techniques for data analysis; develop analytical applications in person computer based spreadsheets and databases; effectively communicate findings to internal/external audiences; interpret and apply SMUD policies, procedures, applicable MOU and/or other special agreements; synthesize energy risk management and portfolio optimization theories and techniques with market realities; provide practical and feasible risk-neutral and cost-effective energy trading solutions; assist in developing and presenting comprehensive energy risk management and financial recommendations balancing analytical results with market realities; solve problems of medium complexity creatively and pragmatically; handle stress well under time pressure; collaborate and achieve "win-win" solutions with cross-departmental team members; utilize a personal computer and/or computer terminal systems and software relevant to the job; communicate effectively orally and in writing internally/externally; establish and maintain effective working relationships internally/externally.

Desirable Qualifications

  • Advanced proficiency in statistical analysis and modeling using Python, R, and/or SQL.
  • Experience with data visualization tools (e.g. Jupyter Notebook, R Shiny, PowerBI)
  • In-depth knowledge of the energy and gas sectors.
  • MS/MA degree from accredited college or university majoring in Economics, Engineering, Mathematics, Statistics, Data Science, or related field.
  • Professional certifications Financial Risk Manger (FRM), Energy Risk Professional (ERM), Chartered Financial Analyst (CFA).

Read the full posting.

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