Houston, TX

A wholesale power generation company is looking for a Quantitative Risk Analyst to join the CRO organization. This newly created role reports to the Head of Quantitative Analysis and will assist in the buildout of a risk infrastructure to quantify and track generation portfolio, market, credit and liquidity risks. 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:

  • Assist with buildout of a risk reporting infrastructure;
  • Assist with identifying risk methodologies, policies and metrics for a portfolio of generation assets;
  • Model risk analytical prototypes;
  • Statistical calibration and back-testing of risk models;
  • Institutionalize prototypes into systems and processes; and
  • Develop ad hoc quantitative reporting tools.

 

Key “risk analytic” responsibilities include:

  • Modeling energy assets and complex transactions (generation, tolling, load-following, full-requirements);
  • Hedging, sensitivity and scenario analyses of the portfolio;
  • Quantification of portfolio market, credit and liquidity risks;
  • Analytic review and identification of factors impacting the commodity risk of the generation portfolio;
  • Asset valuation of proposed structured transactions;
  • Evaluation of capital improvement projects and retirements; and
  • Developing stochastic simulation-based asset models.

 

Additionally, the Quantitative Risk professional will provide portfolio reporting and will develop 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; minimum of 1-3 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 and probability/statistics methods; and proficiency with R or Python, relational databases and SQL development. Submit resumes to chynes@salthillgroup.com.