Quantitative Risk Management Analyst
Washington Gas Careers - Washington, DC

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Provides quantitative support for the risk management activities of Washington Gas, Washington Gas Energy Services, and Capital Energy Ventures in the areas of market data management, valuation, and risk measurement .

  • Develops and maintains price curve models for illiquid market locations and tenors.
  • Develops and maintains volatility surfaces and correlation matrices used for portfolio risk measures and valuation models.
  • Develops market data validation controls to support pricing sources and assumptions used for Fair Value accounting of derivative contracts.
  • Develops and implements models and methodologies for valuing complex derivatives and structured products (e.g., swing models, full requirements contracts, slice of system weather swaps).
  • Develops valuation methodologies for natural gas storage and transportation assets for P/L reporting.
  • Assists in computation of VaR, GMaR, stress tests, and related metrics.
  • Validates risk metrics computed by various risk systems.-
  • Provides analytical support to other groups within the company.
Job Description - Requirements
  • Master’s degree in finance, computer science, math, physics, statistics or related quantitative discipline plus a minimum of 3 years of experience related to the above job responsibilities; or, a Bachelor’s degree in a related quantitative discipline plus a minimum of 5 years of relevant experience.
  • Working knowledge of North American natural gas and electricity markets.
  • Demonstrated excellent modeling skills
  • Proven strong spreadsheet (VBA) and database skills (SQL).
  • Proven ability to develop spreadsheet applications and learn other specialized software products (FEA, FINCAD, GasPro, Entegrate, Vanguard, etc,).
  • Working knowledge of derivatives and hedging activities.
  • Demonstrated excellent problem solving/analytical skills with strong attention to details.
  • Proven ability to identify and implement new processes for efficiencies and enhanced controls.
  • Demonstrated ability to listen to others.
  • Demonstrated excellent oral and written communication skills, including the ability to write and present logically and concisely to all levels within an organization.
  • Proven ability to work independently and proactively.
  • Proven ability to use computer software and applications, including Microsoft Office, to share, retrieve, research and present business information
Washington Gas is an Equal Opportunity Employer.

Applicants are considered for positions without regard to race, ethnicity, religion, sex, national origin, sexual orientation, age, marital status, medical condition, disability, or other legally protected status.