Quantitative Analysis Specialist
Calpine - Houston, TX

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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.

Duties include:
  • 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.

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Calpine may get hot, but it also knows how to blow off some steam. In 2012 the independent power producer and marketer controlled...