Senior Quantitative Analyst
20 hours ago
Overview:
The Analyst leads the build-out and maintenance of the company-wide net revenue model and associated variance measures relative to budget, the build-out and maintenance of the stress test and cashflow models, and structures deal pricing for commercial customers. The role is also responsible for developing market and liquidity risk analyses, including estimating and calibrating parameters for risk models. Additional tasks include developing new financial, market, and credit models as needed.
Role:
- Compile data and assumptions for use in quantitative/risk models
- Maintain and run market and credit risk, market risk, portfolio optimization, and valuation models.
- As necessary, model (including use of third-party tools) the stochastic properties of power forward and spot prices, including supporting models (forwards, volatility, and correlation) that are robust yet practical for use in valuation and risk models. Balance requirements for model accuracy, speed, and flexibility.
- Evaluate the effectiveness of risk models in assessing the risk of the portfolio. Perform model backtesting and calibrate risk models.
- Assess and report on the effectiveness of hedging strategies and programs, including the impact of PCIA and the use of financial instruments, including derivative instruments.
- Develop stress test analysis
- Provide ad-hoc risk and valuation analysis
- Validate key models
- Manage credit risk and collateral requirements associated with the energy portfolio.
- Measure and report current and potential credit exposure.
- Produce weekly risk reports. Enhance risk metrics.
- Track and explain budget variances and run root-cause analyses
Qualifications:
- Bachelor’s Degree in mathematical and computational finance, economics, actuarial science, engineering, business, or a closely related discipline; or an equivalent combination of education and experience sufficient to successfully perform the essential duties of the position.
- A minimum of seven (7) years of progressively responsible experience with wholesale energy trading and retail power markets at an electric utility, independent power producer, or other entity within the energy sector or in a closely related field.
- Strong background with statistical and analytical methods, techniques, and procedures.
- Computer applications, including advanced proficiency with spreadsheets, databases, word processing, and presentation software.
- Basic programming skills (i.e., Python, Matlab, SQL, VBA)
- Energy Trading and Risk Management Software experience preferred
- Solid understanding of Options Pricing and Risk Models
- Basic understanding of the interaction between CCAs and investor-owned utilities.
Job #: 1291
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