Houston, TX

A Wholesale Power Generation Company in Houston is searching for a Head of Market Risk to support its IPP/Power, Renewable and LNG businesses. This newly created role reports to the Chief Risk Officer and will lead the buildout of a risk infrastructure including systems, analytics, and reporting capabilities around market risks and PnL reporting. The analytic output will be used to manage risk decisions around strategic/M&A, trading and structured transaction activities.

 

Key “risk reporting infrastructure” responsibilities include:

  • Hiring a Market Risk team of up to 5 team members.
  • Developing systems and tools in support of a risk control function, including managing the implementation of the ETRM system, a curve management tool and BI reporting.
  • Identifying key reporting risk metrics for portfolio.
  • Developing standardized reports around position, PnL, risk metric reporting for 3 business divisions.

 

Key ongoing “risk analytic” responsibilities include:

  • Monitoring, analyzing and reporting market risk including Value at Risk (VaR), GMaR, Gen Delta, PFE and portfolio stress testing.
  • Producing and analyzing daily position reporting, PnL reporting and PnL attribution for wholesale trading, generation, and structured transactions.
  • Providing detailed PnL explain regarding portfolio changes.
  • Working with Quantitative Analysis to understand stochastic generation/asset modeling for position and margin management.
  • Working with Quantitative Analysis and Fundamentals Teams to build enhanced analytics and sensitivities.
    Assist in modeling capacity and congestion.
  • Communicating with traders and internal stakeholders to understand fundamental power market conditions and report on trends and risks associated with the power desk.

 

Educational and professional requirements include a bachelor’s degree in Finance or related field (advanced degree preferred); 7-10 years’ experience in market risk analysis and risk valuation of wholesale power generation or wholesale power trading; strong supervisory/management skills; experience with financial derivatives and pricing; fundamental knowledge of US gas and power markets; experience with ETRM systems implementation; and strong technical skills ((C#, MATLAB, Python or R), VBA, Excel, etc.). Submit resumes to chynes@salthillgroup.com.