Quantitative Analyst, Principal - Strategic Quantitative Modeling and Analysis
The principal will report to the SQA&M director and will partner and collaborate with other members of SQA&M, SA, EPP, and other LOBs. The principal will be based at PG&E’s headquarters in San Francisco, CA.
The principal will effectively partner and collaborate with staff within and outside the SQA&M department. This person will have at least eight years of experience, and will be accountable for:
- Working with Officers and Directors to support (a) strategic planning and (b) data-driven decision making under uncertainty through application of real options.
- Modelling European, American, Asian, Bermudan, and other exotic options. Including modelling volatility, correlations, and lattices (binomial and trinomial trees).
- Implementing real-options methodologies to value the optionality embedded in potential strategic and tactical investment opportunities (i.e., expand, abandon, postpone, etc.) (a) to manage risk and return and (b) to mitigate exposures and risks under uncertainty.
- Researching and summarizing real-options applications, including catastrophe theory, in the energy and insurance sectors applied to investments aimed: (a) at mitigating the uncertain effects of climate change, and (b) at rendering PG&E and its communities more resilient.
- Training others and advocating the use of real options throughout PG&E.
- Performing strategic, quantitative, option analysis, and data & visualization studies.
- Generating periodic, insightful, succinct reports using programming tools such as Real-Options Valuation, SAS, SAS JMP Pro, MATLAB, Tableau, Python, Excel, etc.
- Providing effective regulatory support in a variety of existing and emerging topics.
- Preparing presentations for SA senior management as well as for distribution outside SA and the Company, as reviewed and approved.
- Representing PG&E externally as required (CPUC and CEC workshops, FERC, EPA, EPRI, trade association task forces, and other similar forums).
- Making succinct recommendations, extracting business insights, and effectively explaining technical methodologies to others within and outside PG&E, as required and approved.
- Writing clear documentation for models and procedures.
- Providing effective verifiable knowledge transfer to guarantee business continuity.
- Meeting deadlines and effectively managing projects.
- Qualified candidates have a Master’s degree in options analysis, financial engineering, decision analysis, multivariate statistics, predictive analytics, mathematics, finance, physics, economics, operations research, or other analytical/quantitative areas.
- At least eight years of experienceapplying real options, preferably in the energy sector.
- Demonstrated effective oral and written communication skills evidenced through presentations: (1) to management, and (2) to technical, non-technical, and regulatory audiences.
- Proven deep experience in regulated and unregulated energy and utility sectors. At least seven years of experience.
- Demonstrated experience deploying financial and real-options analysis including Monte Carlo Simulation and combining and recombining trees to assess optionality.
- Ph.D. degree in options analysis, financial engineering, decision analysis, multivariate statistics, predictive analytics, mathematics, finance, physics, economics, operations research, or other analytical/quantitative areas
- Strong programming skills including knowledge of all or some of the following tools: SAS, SAS JMP, Python, Advanced Excel, VBA, Matlab, Xpress (or other optimization tools), @Risk (or Crystal Ball), and RiskOptimizer.
- Strong proficiency with the following tools: OneNote, Word, and PowerPoint.
Requisition ID # 13917