Details: A key client is seeking a strong quantitative professional to join the organization’s market risk team focused on transaction modeling and quantitative risk metrics valuation. This is an experienced level role responsible for developing valuation models, standardizing the methods of transaction and risk metric evaluation as well as proposing new and advance valuation and modeling methods. This role is key to providing the necessary analytics in support of the commercial organization including Marketing, Origination, Trading and Asset Development. Some key points of responsibility will be: Model Development and Analysis: Quantitative modeling of commodity prices, derivatives, assets and structured transactions as needed to value, analyze and quantify risks. Types of solutions heavily leveraged in this role include: implementation and enhancement of Monte Carlo/VaR, GMaR, energy price simulation, option valuation and other models as required to properly value transactions as well as the portfolio as a whole estimation of model parameters (such as volatility, correlation, mean reversion rate, etc. as appropriate). Model Validation: Perform review of existing and future models developed within the risk group and/or by other groups within the company as needed. Stress Testing: Perform stress tests to determine portfolio level impacts on value, gross profit or energy procurement costs.
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