Responsibilities include:
- Formulate and implement models for risk analysis of commodity products and derivatives, such as methodologies for constructing term structures and volatility surfaces.
- Improve and extend existing risk reporting tools, including risk analysis, P&L attribution, and portfolio construction, with focus on both regular periodic reporting and ad-hoc requests.
- Develop methodologies and procedures to conduct historical and hypothetical stress testing, as well as analysis of the results using standardized statistical metrics.
- Work with Risk Management to configure and calibrate risk systems.
- Apply quantitative methods to solve risk topics, such as estimating market liquidity and liquidation costs.
- Contribute to overall risk management team at BAM in risk analytics, processes, and reporting. This may involve ad-hoc risk analysis for portfolios that are not commodities-focused or investigation of impact of a commodities-focused portfolio to the overall risk of the firm.
- Contribute to Global Risk Committee's understanding of risk drivers and considerations in related markets.
- Work with the technology team to automate, maintain, and enhance integration of research and reporting solutions into the existing infrastructure.
- Work with risk management to onboard new portfolios and products.
Requirements:
- 10+ years of experience as a commodities quant, strategist, or quantitative risk officer, at a physical energy trading firm.
- Expertise in physical US Gas and Power
- Strong academic background (masters/doctorate) in quantitative fields such as math, physics, engineering, statistics, economics, or finance.
- Skilled in valuing and modeling physical commodity assets and structured transactions, such as gas or oil storage, power tolls, transmission, etc.
- Experience with as many of the following commodities as possible: electricity, congestion markets, natural gas, crude oil, oil products, energy assets, agricultural commodities, structured transactions, shipping.
- Experience with seasonality in commodities risk models.
- Strong programming skills in Python and SQL. Must be familiar with numeric libraries such as pandas, numpy, etc.
- Strong problem-solving skills.
- Enjoy working in a collaborative environment and able to communicate complex ideas clearly
Nice to have:
- Advanced Python knowledge including management of virtual environments, release process, or multi-processing
- Experience developing Plotly Dash dashboards and other data visualization tools
- Experience working at a hedge fund or other asset management firms with exposure to systematic futures strategies or portfolio construction
- Experience with factor analysis, PCA, decomposition models for P&L and risk, machine learning