A large-scale energy/utility provider with a strong power marketing function is seeking a Quantitative Analyst based in their Kansas City HQ or Topeka, KS office. The firm provides energy services to ~4.5 million customers across the mid-west. The firm engages in energy trading to manage their energy portfolio, hedge against price volatility, and ensure a reliable supply of electricity for their customers.
This role reports directly to the firm's Senior Director in Risk Management & Strategy. They are targeting a candidate with 4-6 years' experience with strong quant modeling skills with knowledge in power markets.
In this role you will be responsible for:
- Facilitating and implementing Counterparty and Credit Risk policies - responsible for ensuring new commercial strategies align with overall risk framework
- Leading a team of 3 risk analysts
- Developing risk limits and maintaining portfolio-level risk metrics accounting for cross-market correlations in energy, congestion, and REC prices
- Develop stress and scenario analysis for Credit exposure, monitoring the execution of hedging/optimization activities
- Review forward market price volatility curves and correlation assumptions for stochastic risk modeling.
- Facilitate trading strategy performance benchmarking and establishing risk limits.
- Participate in contract negotiations including Credit terms, evaluate credit risk of proposed transactions, propose mitigating actions and credit support terms
- Support Risk quantification and valuation of hedges, EMAs, and other structured transactions for contract negotiations and deal modeling
- Monitor margin calls, forecast collateral needs, and work with Treasury on cash management
- Manage adequate collateral in the form of Cash, Letter of Credit, Guarantees, Surety Bonds, Performance Bonds, and other approved instruments
- Participate in SPP Credit working group, evaluating proposals and identifying opportunities
- Evaluate collateral needs of ARR/TCR/LTCR auctions and enable congestion strategy
Qualifications:
- Knowledge of US Electricity markets and power systems with direct experience with at least one ISO market, preferably SPP market
- Exposure to regulatory expectations and industry standards concerning risk management practices including risk management modeling.
- Proficient in developing predictive models using mathematical and statistical methods to identify, analyze, and mitigate energy market risks with an understanding of option valuation and Greeks.
- Experienced in at least one programming language, preferably Python or R, with a demonstrated track record of developing complex financial models and implementing them into a production system.
- Strong SQL and data mining skills.
