Lead Power Quantitative Risk Modeler
Core
Develop, validate, and maintain quantitative valuation and risk management models for Power markets, including structured deals, hedging strategies, and stress testing.
Role type
Lead Power Quantitative Risk Modeler
Builds
Quantitative risk models, valuation models, and hedging strategies for Upstream Gas & Power and Downstream Crude & Products trading activities.
Domain
Energy commodities (Power, Natural Gas, LNG) and Financial Risk Management
Deliverable
production ML models | product features
Required skills
Advanced statistical analysis, option theory, Monte Carlo simulation, mathematical optimization, Python/R/MATLAB, SQL, Power market knowledge, energy commodity risk analysis
Preferred skills
ETRM systems (Endur, Allegro), Tableau, Credit Risk Modeling
Technologies
Python, R, MATLAB, SQL, Endur, Allegro, Tableau
Responsibilities
Develop quantitative valuation models for Power markets; Conduct quantitative analysis of structured deals; Model and estimate volatilities and correlations; Apply advanced statistical analysis to scenario analysis and stress tests; Provide recommendations for model enhancement.
Seniority
Senior, hands-on IC
