Power Quantitative Risk Analyst (or Senior Analyst)

Houston, TX 77002 | Work from home flexibility

Posted: 12/28/2022 Industry: Energy-Middle Office Job Number: 1681

Job Description

A wholesale power generation company is searching for a Quantitative Risk Analyst (or Senior Analyst) to support its power trading desk. This role reports to the Head of Quantitative Analysis and is responsible for analytics that are used to manage risk decisions around strategic/M&A, trading and structured transaction activities.

Key responsibilities include:

  • Modeling energy assets and complex transactions (generation, tolling, load-following, full-requirements);
  • Hedging, sensitivity and scenario analyses of the portfolio;
  • Quantifying portfolio market, credit and liquidity risks;
  • Analytically reviewing and identifying factors impacting the commodity risk of the generation portfolio;
  • Valuing assets for proposed structured transactions;
  • Evaluating capital improvement projects and retirements; and
  • Developing stochastic simulation-based asset models.

Additionally, the Quantitative Risk professional provides portfolio reporting and trading analytical tools for the commercial trading operations and risk teams.

Ideal candidates will have a strong combination of analytical proficiency, software development skills and familiarity with commodity markets (power, gas, oil or refined products).

Educational and professional requirements include a Master's degree in Math, Statistics or a quantitative field; approximately 1-5 years in quantitative risk modeling in the energy markets; understanding of derivative (options) pricing models and risk metrics including GMAR, VAR, PFE; experience with time series analysis, stochastic analysis, Monte Carlo simulations, econometrics and probability/statistics methods; and proficiency with R or Python, relational databases and SQL development.

Position can be located in Houston or can be remote within the United States.

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