Quantitative Risk Analyst, Sr.
Edison Mission Group - Boston, MA

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Edison Mission Marketing & Trading (EMMT), based in Boston, Massachusetts, conducts price risk management and energy trading activities for its parent organization, Edison Mission Energy (EME), based in Santa Ana, California. EME is a holding company whose subsidiaries and affiliates are engaged in the business of developing, acquiring, owning or leasing, operating and selling energy and capacity from independent power production facilities.

Job Responsibilities

Duties/Job Responsibilities

This quantitative position would provide critically important independent advice on risk/return tradeoffs for Proprietary Trading, Business Development, Origination and Asset Management activities in the rapidly changing energy markets. It would be an integral part of the team managing overall corporate risk and would be responsible for R&D, implementation, and back-testing of cutting-edge valuation and risk metrics for near-term trades, long-term structured deals, complex derivatives, and power assets.
  • Perform Fundamental analysis of market prices to provide support to the Business in terms of verified prices and price related metrics / statistics for generation of performance and risk measures and reports.
  • Supports Trading, Business Development, Asset Management, and Origination by creating and/or populating portfolios that capture new assets and transactions in the Enterprise Trading and Risk Management System (ETRMS). Sets p and maintains price, volatility and correlation curves. Monitors risk metrics and investigates potential issues. Guides and resolves the ETRMS End-Of-Day process.
  • Helps to determine short- and long-term coal demand and optimal hedging strategies for power and emissions (SOx, NOx, etc.), and guides budgeting and investment decisions by forecasting asset performance parameters such as expected profit margin and plant output through the Asset Valuation Models (AVM). Maintains and further develops AVM for existing and new assets. Quality controls inputs and outputs. Troubleshoots issues. Performs Monte Carlo simulations and sensitivity analyses.
  • Assesses risks of proposed transactions and provides guidance to Trading by utilizing, maintaining, and further developing proprietary VaR systems for Financial Transmission Rights (FTR), Transmission Congestion Contracts (TCC) and Capacity. Helps ensure compliance with internal policies.
  • Helps to enable new Trading and Origination activities by analyzing strategies and products and recommending appropriate volume and VaR limits.
  • Assists wind and other development programs by performing independent quantitative research, e.g., analyze wind portfolio risks, develops quantitative models to value physical assets and structured deals, model volatility and correlation in illiquid markets, etc.
  • Maintains and document various Market Risk policies and procedures.
  • Supports decision making in other business units and/or departments by preparing and distributing market-based information and analyses. Creates and presents Risk Management research and findings.

Qualifications

Knowledge/Skills
  • Ensure robust development of Price Curves and manage all aspects of the process. Covering
    • Price and related market data gathering and analyses
    • Creation and validation of Prices Curves and trader marks
    • Historical time series and cross sectional analyses of price and market data to support user groups (e.g., Analytics, Origination, Market Risk etc.)
    • Management of daily, weekly, monthly and annual Fundamentals data
    • Analyze and evaluate market conditions, margins, sales volumes and competitive activity to maintain pricing function
    • Prepare of reports, summarizing information, interpretation of data
  • Management of daily, weekly, monthly and annual Fundamentals data
  • Analyze and evaluate market conditions, margins, sales volumes and competitive activity to maintain pricing function
  • Prepare of reports, summarizing information, interpretation of data
Technical/Functional
  • Proficient with Excel, Access and SQL.
  • In-debt programming language experience (e.g., Matlab, VBA, C).
  • Familiarity with enterprise trading and risk management systems.
  • Detailed knowledge of PNL and VaR.
Education/Training
  • 3-5 years experience working in a commodity trading environment or investment management.
  • Experience in energy market and understanding of power transmission networks
  • Bachelor’s Degree in Math, Engineering, Finance, Economics, Financial Engineering, Physics, Statistics or Operations Research
  • Master’s/Advance Degree in same as above

Edison Mission Group - 16 months ago - save job - block
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