Houston, TX
An international energy company in Houston seeks a senior professional to lead a Quantitative Analysis team. This position leads the development, implementation, and management of advanced models and methodologies to quantify market, credit, and liquidity risk across the company’s energy trading portfolios (thermal power, renewable power, and LNG). It supports strategic initiatives, structured transactions, and M&A activity, and it provides expertise on portfolio commodity risk, statistical analysis and back-testing of models, and quantitative validation of proposed transactions.
Key Responsibilities:
- Model Development & Implementation:
- Lead the design, development, and validation of quantitative models to quantify, assess, and optimize portfolio, market, credit, and liquidity risks.
- Recommend modeling methodologies for energy products and complex transactions (generation, tolling, HRCO, DART spread).
- Lead the development of valuation methodologies for renewable assets (solar, wind, battery storage).
- Ensure models comply with regulatory requirements and internal risk management standards.
- Risk Assessment & Reporting:
- Quantify and analyze the risk exposure of thermal power, renewable power, and LNG trading portfolios.
- Identify factors affecting the risk of portfolios.
- Develop methodologies to assess potential market movements, credit exposures, and liquidity needs.
- Provide regular and ad-hoc reports to senior management, highlighting key risk metrics and potential vulnerabilities.
- Portfolio Management:
- Collaborate with trading desks to understand trading strategies and their impact on the risk profile.
- Advise on risk mitigation strategies, including hedging approaches and portfolio diversification.
- Monitor the performance of portfolios and adjust models as necessary to reflect changes in market conditions.
- Technical:
- Support and maintain internal databases.
- Conceptualize data structures and algorithms.
- Design analytics libraries and data repositories.
- Analyze large time-series and cross-sectional datasets, independently conclude, and make recommendations.
- Implement quantitative models in a production environment.
- Stakeholder Collaboration: Work closely with the M&A, asset trading, fundamentals, market risk, back office, and compliance teams to ensure alignment of risk models with business objectives. Provide insights and recommendations to senior management on risk-taking activities and capital allocation.
- Leadership & Development: Manage and mentor a team of quantitative analysts, fostering a culture of continuous learning and innovation.
Qualifications:
- Master’s or PhD in Quantitative Finance, Financial Engineering, Economics, Mathematics, Statistics, or a related field.
- Minimum of 12 years of experience in a quantitative analysis, statistical analysis, and risk assessment role focusing on energy markets.
- Expertise in quantitative risk modeling for thermal power, renewable energy, and LNG trading portfolios.
- Strong programming skills in Python, R, MATLAB, or other relevant languages.
- Experience writing production-quality code using object-oriented languages (C#, Java).
- Experience with statistical modeling, including factor models, time series analysis, Monte Carlo simulations, stochastic analysis, VaR, stress testing, and scenario analysis.
- Experience with SQL development and database design/architecture.
- Excellent analytical, problem-solving, and communication skills.
- Proven leadership experience, with the ability to manage and develop a high-performing team.
Employees work three days in the office and two remotely. Submit resumes to chynes@salthillgroup.com.