Quantitative Risk Analyst
Edison Mission Group - Boston, MA

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Company Overview:
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:
This quantitative position would be responsible for the development and maintenance of proprietary forward curves, Value-at-Risk (VaR) estimation models, research of new risk methodologies for rapidly changing energy markets and valuation of assets and long-term structured deals.
  • Source and consolidate exchange and OTC market pricing data on a daily basis. Estimate proprietary forward curve and basis models for a broad range of energy commodities. Calibrate, maintain and expand the existing models.
  • Use and improve proprietary models to effectively measure and analyze VaR, Earnings-At-Risk, Gross Margin-at-Risk, and other risk metrics. Research model assumptions like volatilities, correlations, regressions, and seasonality. Perform Monte-Carlo simulations. Consolidate and manage risk-related databases.
  • Guide and resolve end-of-day processes for daily trading activities in our Enterprise Trading Management system.
  • Assess positions and make recommendations on risk assessment for Financial Transmission Rights (FTR) and Transmission Congestion Contracts (TCC) to ensure compliance with risk management policies.
  • Partner with other business units and/or departments.
  • Maintain existing quantitative models to value physical assets and structured deals.
  • Make budget recommendations as part of a team.
  • Create and present ad-hoc Risk Management research and findings to management.
  • Source and consolidate exchange and OTC market pricing data on a daily basis. Estimate proprietary forward curve and basis models for a broad range of energy commodities. Calibrate, maintain and expand the existing models.
  • Support the 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

Qualifications:
Knowledge/Skills
  • Knowledge and practical experience in option pricing and real options theory.
  • Strong background in statistical data modeling, numerical methods, Monte Carlo simulation, and optimization techniques.
  • Good technical judgment. Ability to develop, test and apply new methods for measuring and managing market risk to complex instruments and portfolios in a short amount of time.
  • Ability to work independently and in diverse teams, intellectual curiosity and flexibility.

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
  • 2-3 years of 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

Edison Mission Group - 9 months ago - save job - block
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