Energy Quantitative Senior Analyst

Calgary, AB T2P 3E3

Posted: 12/19/2024 Industry: Energy-Middle Office Job Number: 1820

Job Description

Overview:
A competitive integrated energy firm in Calgary is seeking a talented and experienced Senior Quantitative Analyst to join its Risk team. In this role, you will focus on valuing complex structured energy transactions and quantifying the risks associated with energy commodities trading, including wholesale crude oil, refined products, natural gas, and power.

Key Responsibilities:
  • Develop, model, and value complex structured deals, asset optionality, and real options across energy commodities.
  • Design and assess pricing formulas, volatility curves, Value-at-Risk (VaR) models, as well as scenario and stress testing analyses.
  • Perform in-depth quantitative analysis to identify factors impacting commodity risk within energy trading portfolios.
  • Quantify market, credit, and liquidity risks associated with energy trading portfolios.
  • Conduct hedging, sensitivity, and scenario analyses to assess risk exposure and portfolio performance.
  • Develop, monitor, and report risk and market analytics to support energy trading activities and decision-making.
  • Drive continuous improvement in ETRM (Energy Trading and Risk Management) system functionality and business automation processes.
  • Create and present Power BI reports to visualize analytical results, track KPIs, and communicate findings to stakeholders.
Required Qualifications:
  • Master's degree in Applied Mathematics, Statistics, Physics, or a related quantitative field.
  • 3–7 years of experience in quantitative and risk modeling, with a strong focus on energy markets (crude oil, refined products, natural gas, and/or power).
  • Strong understanding of derivative pricing models (options) and risk metrics.
  • Expertise in time series analysis, stochastic modeling, Monte Carlo simulations, econometrics, and statistical/probability methods.
  • Proficiency in MATLAB and/or Python for data analysis and model development.
  • Experience with relational databases and SQL for data management and manipulation.
Preferred Skills:
  • Strong communication and presentation skills, with the ability to simplify complex quantitative findings for diverse audiences.
  • Experience with Power BI for developing reporting dashboards.
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