PRIMARY PURPOSE OF POSITIONThis job has responsibility for proposing and developing new risk models, building risk modeling infrastructure, designing and prototyping risk metrics, overseeing the daily production of risk reporting systems and databases, providing analytical support to Risk and Commercial functions, overseeing the risk pricing methodologies, testing Risk system soundness given upstream system changes, and managing Risk IT initiatives. Design and prototype new market, credit, liquidity, and operational risk metrics, assist with the establishment of risk controls and monitoring activities Building the Risk modeling infrastructure including the production models, automated reports, databases, job scheduling systems. Provide quantitative analyses for Risk functions, commercial teams, and the finance group. Examples include alternative commodity hedging strategy assessment, standard product risk premium pricing matrix development, price verification, hedging effectiveness testing, and financial planning. Owns the risk pricing methodologies for standard products, provide regular updates, and. communicate to commercial team drivers of the changes. Work closely with all risk functions, business owners, and IT on developing efficient risk reporting tools. Maintain and expand the existing Risk reporting system, analytical tools, and databases which are used by the Risk Management Group for measuring and analyzing risks associated with the company's portfolios. Participate in the SAS system architecture design and enhancements. Diligently pursue information and conduct research to understand energy products, introduce best business practices, and propose new modeling methodologies. Pricing capital costs and risk premiums for standard products
PRIMARY DUTIES AND ACCOUNTABILITIES- Proposing risk metrics and building risk modeling infrastructure
- Provide quantitative analyses to Risk and Commercial functions
- Validate production models
- Develop risk capital framework
- Validate option pricing and volatility/correlation curves
- Oversee the production code change management
- Support Strat Plan/SPA update
- Provide risk pricing of standard products and structured deals
MINIMUM QUALIFICATIONS- Bachelor's degree in economics, quantitative finance, mathematics, physics or equivalent quantitative disciplines.
- Minimum 5 years related experience in quantitative or financial valuation role; Advanced degree in economics, quantitative finance, mathematics, physics or equivalent quantitative disciplines can be used in lieu of 2 years of experience.
- Fundamental understanding of derivative products valuations including forwards and futures contracts, options, swaptions, and exotic options
- Understanding of probability theory, applied and financial math concepts and techniques.
- Substantive experience using programming languages or analytical packages commonly used in model development, such as Python, Matlab, C/C++, R, SAS, and SQL.
- A motivated self-starter and creative thinker with the ability to work independently and collaboratively with colleagues at all levels of the organization. Driven to develop and maintain effective relationships with internal and external partners.
- Demonstrated ability to perform responsibilities under time pressure with a high degree of accuracy, to prioritize multiple tasks effectively, build consensus, and adapt to evolving business needs.
PREFERRED QUALIFICATIONS- Databricks experience.
- PhD preferred.
- Prior experience in quantitative role in the finance/energy industry.
- Excellent communication, presentation, and interpersonal skills with the ability to discuss technical subjects with a wide variety of audiences.
