Identify, research, develop, test, and implement quantitative methodologies to support risk control activities in fulfillment of the Risk Management Policies and Procedures. The nature of the research is both regional and enterprise-wide.
- independently validate/back-test models, development and refinement of volatility term structures and correlation matrices
- enhancement of value-at-risk methodologies and simulation methods
- validate curves for illiquid markets
- design stress test and scenario based scenarios
- develop risk decision support tools and metrics
- collaborate with Information Systems to develop risk management system solutions
- Will participate in research and studies related to potential and current marked-to-market exposures by counterparty, in research activities with tactical risk control analysts, traders, structures, market analysts, IT analysts, and other business analysts.
- Bachelor’s Degree (B.A.) in Mathematics, Quantitative Analysis, Economics, or equivalent is required. Prefer Master’s Degree.
- Strong programming skills is a plus
- Deep understanding of statistical and financial models
- Requires minimum of 10+ years’ experience 5 of which include working in quantitative analysis and/or risk controls.
Calpine may get hot, but it also knows how to blow off some steam. In 2012 the independent power producer and marketer controlled...