A large-scale power and gas utility is looking to bring in an Energy Market Risk Manager to oversee their physical and contractual energy portfolios. The utility currently provides power to approximately 500,000 household clients and additionally has a long list of commercial and institutional clients. They specifically focus on electricity, natural gas, coal, and renewable resources and they're looking to bring in an analytically-focused professional who will be able to support portfolio risk analysis, transaction pricing, valuation, capital adequacy, and credit risk analysis.
- Apply quantitative analysis methods to value/analyze market, credit and capital requirements for the firm's physical and contractual energy portfolio (includes generating assets, fuel supply contracts, hedging transactions, and long-term power sales agreements)
- Develop portfolio risk models to measure VaR, gross margin VaR, gross margin at risk, and cash flow at risk
- Conduct structured valuation and hedging scenario analysis to support the firm's transaction initiatives.
- Identify opportunities to mitigate market price and volumetric risk exposure
- Prepare risk analysis to support risk management objectives
- Mentor and directly manage 2 junior quantitative risk analysts
- 6+ years of experience in risk management in physical electricity markets with strong quantitative skills
- Advanced degree preferred
- Proficient in Microsoft office, risk controls and commodity life cycle, with hands-on experience with ETRM software
- Experience with monte carlo simulations (Palisades, @Risk or Crystal Ball)
- Skilled in Python or R, SQL and VBA
- Ability to take on continuous responsibility and wear multiple hats