Support initiatives related to quantitative analytic modelling of the life cycle of a commercial product/transaction and increase productivity. Serve as the data analyst for model governance, model development, and model deployment activities.
- Develop, implement and manage holistic process for econometric and statistical modelling (design, development, validation, calibration, documentation, approval, implementation, monitoring and reporting), in collaboration with Quantitative Methodology leader.
- Support Quantitative Methodology leader on formulating and evaluating alternative methodologies or econometric specifications for conceptual soundness and stakeholders' model requirements.
- Develop econometric and analytic models to be used by business unit Capital Planning team for stress testing processes.
- Conduct econometric analysis to determine relationship from macro- and micro-economic data to markets demand and prices and to firm-specific demand function; and to commodity demand and prices.
- Conduct wing-to-wing advanced statistical robustness tests on regression specifications, coefficients and residual errors; and feedback into model development improvement and regression specification changes.
- Develop new modelling sensitivity and impact timing analysis as required by HQ Enterprise Stress Testing's procedure; and update the analysis annually.
- Conduct analytics to validate the performance of existing quantitative risk models, recommend changes, and support gap closing projects. Performance evaluation includes outcome analysis, back-testing analysis and benchmarking analysis.
- Support model review and validation requirements; and support model remediation strategies and multi-generation plan.
- Lead modelling data capture, gathering, mastering and maintenance in support of modelling databases, in collaboration with platform resources.
- Manage model supporting data warehouses in terms of accuracy and completeness; understand data and process structures from System of Record to Data warehouse to ensure accuracy and precision of data used for modelling, reporting and analysis.
- Drive standardization of processes that ensure timely generation and retrieval of reporting and risk analytics data, including support of model management framework.
- Incorporate operational definitions and conceptual system designs to create algorithms that meet business reporting and analytics needs.
- Develop and perform processes for model monitoring Establish and maintain strong relationships with key functional stakeholders (Risk, Finance, IT, Ops) Manage and guide supporting resources as required.
- Bachelor's degree in quantitative related field (Economics, Finance, Math/Stat, Engineering, Operations Research, etc.) with 2+ years of relevant Risk, Finance, or graduate research experience in energy, power or utilities sector.
- Graduate degree in economics field (applied econometrics in panel or time series techniques);
- Demonstrated experience in statistical model life cycle management, including proficient level of expertise with at least one statistical modelling language/utility (Matlab, Stata, R, SAS or equivalent) proficiency and expertise building and implementing routines for data transformation.
- Demonstrated strong SQL skills and experience delivering SQL code and supporting physical database designs
- Strong knowledge of MS Office tools, and data mining tools (Access, SQL, BO, SAS, etc.)
- FRM and CFA a plus Familiarity with Basel Initiative, Treasury operations and regulatory matters
- Experience in management of, or results driven contribution to, cross-functional teams (Risk, Finance, IT, Operations)
- Strong knowledge of commercial finance
- Demonstrated ability to lead and support projects from beginning to end Self-starter, ability to work independently in a fast paced environment and deliver solid action oriented results quickly
- Operational understanding of and experience with Model Risk, and balancing sophistication with simplicity (Ockham's Razor) Excellent oral and written communication skills
- Strong interpersonal and team management skills