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Risk Manager/ Principal Quantitative Analyst
We are looking for Risk Managers/ Principal Quantitative Analysts. These positions are full time positions and would be based with our clients on the West coast
Please note the skills we are looking for are very specific and requires extensive experience in Risk Management and building quantitative models in a Trading environment. Experience in Quantitative Modeling ( Black Scholes, Monte Carlo, Stochastic) would be needed. Experience with any of the following : Energy ,MBS, Fixed Income, Interest Rate, Derivatives, Options , Equities, commodities would be a plus
The Quantitative Group is engaged in a variety of tasks in risk management and controls. Specific responsibilities of the group include developing risk management models to measure risks of different businesses and commodity-related transactions, estimating and calibrating parameters for use in risk models (such as volatilities and correlations of forward prices, mean-reversion rates, etc.), measuring and monitoring portfolio risks, stress-testing, hedge effectiveness analysis, validating key models developed by other businesses and affiliates of the Company, developing IT solutions appropriate to handle exotic option valuations and advanced value-at-risk type computations for different commodities and portfolios of deals.
Risk Manager / Principal Quantitative Analyst is a senior level position within Office Quantitative Team. In addition to performing duties as an individual contributor, this position is expected to provide guidance to the quantitative analysts in the areas of risk analysis and modeling, model validation, portfolio risk management, stress testing, hedge effectiveness analysis and provide leadership in completing projects in a timely manner.
Supervise 2-4 direct reports in addition to hands- on quantitative modeling experience
• Risk Analysis and Modeling: Mathematical modeling of commodity prices, derivatives and transactions as needed to analyze and quantify risks. This may involve stochastic modeling of forward and spot prices, estimation of model parameters (such as volatility, correlation, mean reversion rate, etc. as appropriate), determining statistical significance of the results, and implementation and enhancement of Monte Carlo energy price simulation models and methodologies including balancing requirements for model accuracy, speed, and flexibility.
• Model Validation: Perform review of models developed by Front Office quant team and other sources as needed and the key risk models developed by Mid Office quant team.
• Portfolio Risk Management: Compute portfolio risk using time-to-expiration Value-at-Risk methodologies. Understand complex portfolios composition and discern and report on portfolio risks. Such portfolios may include a variety of physical assets (such as manufacturing plants) and a number of financial instruments (such as fixed strike options, floating strike options, tolling options on two commodities, Asian options, fixed-for-floating swaps, other types of exotic and real options).
• Stress Testing: Perform stress tests to determine portfolio level impacts on energy procurement costs.
• Hedge effectiveness analysis: Assess and report on the effectiveness of hedging strategies and programs.
• Projects: Provide leadership in completing projects related to implementation of quantitative models and risk systems.
• Ability to work as part of a team and independently with multiple projects under tight deadlines
• Excellent written and verbal communication skills , including ability to make clear, erudite presentations to upper management
• 9+ years relevant experience mathematical and computational finance of which at least 3 years of experience must be hands on in quantitative market risk management of portfolios with energy transactions involving valuation and risk assessment of embedded derivative, such as swaps, options, swaptions, Asian options and other relevant exotic options.
• Programming experience in VBA, Matlab, SQL, and relational database
• Degree in Financial Engineering, Mathematical and Computational Finance, Physics, Statistics, Mathematics or other quantitative discipline
• Advanced degree in Financial Engineering, Mathematical and Computational Finance, Physics, Statistics, Mathematics or other quantitative discipline
• Energy experience