Quantitative Risk Manager (Power Generation)

The Woodlands, TX 18101 | Work from home flexibility

Posted: 12/28/2022 Industry: Energy-Middle Office Job Number: 1670

Job Description

A power generation company is looking for a Quantitative Risk Manager who has experience with generation modeling, asset valuations, hedging, and can undertake portfolio risk analysis of their power plant fleet of assets. This position has direct reports. 

Key analytic responsibilities include:

  • Develop pricing models to value structured transaction origination activity. Expected deal types include heat rate call options with complex deal attributes, retail load following, renewable/battery storage, and natural gas storage (time spread) contracts;
  • Validate pricing tools used by the trading, risk and industrial retail marketing staff;
  • Validate complex deal inputs (volatilities and correlations) entered in the risk management system;
  • Hedging and sensitivity and scenario analyses of the portfolio;
  • Quantification and reporting of portfolio market, credit and liquidity risks;
  • Experience with stochastic simulation-based asset models. Reconcile stochastic valuation of generation assets versus the results of the trade risk management system;
  • Gross margin forecasts; and
  • Maintaining a keen understanding of the fundamentals in the broader power and natural gas markets.

Educational and professional requirements include a Bachelor’s degree in a quantitative field; minimum of 5 years of power markets risk or quantitative analysis at a utility, IPP or energy consulting firm; asset modeling and valuations experience; understanding of derivative (options) pricing models and risk metrics including GMAR, VAR, PFE; experience with time series analysis, stochastic analysis, Monte Carlo simulations and probability/statistics methods; and proficiency with R or Python; relational databases and SQL development; and prior experience managing a small team.

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