Energy - Credit Risk Manager

1 month ago


Kansas City, United States Selby Jennings Full time

A large-scale energy/utility provider with a strong power marketing function is seeking a Quantitative Analyst based in their Kansas City HQ or Topeka, KS office. The firm provides energy services to ~4.5 million customers across the mid-west. The firm engages in energy trading to manage their energy portfolio, hedge against price volatility, and ensure a reliable supply of electricity for their customers.

This role reports directly to the firm's Senior Director in Risk Management & Strategy. They are targeting a candidate with 4-6 years' experience with strong quant modeling skills with knowledge in power markets.

In this role you will be responsible for:

  • Facilitating and implementing Counterparty and Credit Risk policies - responsible for ensuring new commercial strategies align with overall risk framework
  • Leading a team of 3 risk analysts
  • Developing risk limits and maintaining portfolio-level risk metrics accounting for cross-market correlations in energy, congestion, and REC prices
  • Develop stress and scenario analysis for Credit exposure, monitoring the execution of hedging/optimization activities
  • Review forward market price volatility curves and correlation assumptions for stochastic risk modeling.
  • Facilitate trading strategy performance benchmarking and establishing risk limits.
  • Participate in contract negotiations including Credit terms, evaluate credit risk of proposed transactions, propose mitigating actions and credit support terms
  • Support Risk quantification and valuation of hedges, EMAs, and other structured transactions for contract negotiations and deal modeling
  • Monitor margin calls, forecast collateral needs, and work with Treasury on cash management
  • Manage adequate collateral in the form of Cash, Letter of Credit, Guarantees, Surety Bonds, Performance Bonds, and other approved instruments
  • Participate in SPP Credit working group, evaluating proposals and identifying opportunities
  • Evaluate collateral needs of ARR/TCR/LTCR auctions and enable congestion strategy

Qualifications:

  • Knowledge of US Electricity markets and power systems with direct experience with at least one ISO market, preferably SPP market
  • Exposure to regulatory expectations and industry standards concerning risk management practices including risk management modeling.
  • Proficient in developing predictive models using mathematical and statistical methods to identify, analyze, and mitigate energy market risks with an understanding of option valuation and Greeks.
  • Experienced in at least one programming language, preferably Python or R, with a demonstrated track record of developing complex financial models and implementing them into a production system.
  • Strong SQL and data mining skills.


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