Selby Jennings is actively partnered with a leading US power generator to hire a Manager of Quantitative Energy Risk. The Manager of Quantitative Energy Risk s will play a pivotal role in implementing a risk management framework through advanced quantitative analysis. Reporting directly to the Managing Director of Risk, this individual will be tasked with aligning new commercial strategies with the portfolio's overall performance goals, ensuring adherence to established risk tolerances. This position requires comprehensive knowledge of commodity market dynamics, trading instruments, and risk management practices focused on renewable resources. Additionally, this role involves collaborating with management to develop and adjust portfolio strategies based on risk scenarios and working closely with energy traders to assess potential portfolio impacts.
Key Responsibilities:
Risk and Quantitative Analytics:
Develop models to evaluate gross margin risk for market-exposed projects, focusing on near-term to five-year forecasts, to support hedging strategies within established Energy Risk Management guidelines.
Set portfolio risk limits and track portfolio-level risk metrics that account for cross-market correlations, including energy, congestion, and Renewable Energy Credit (REC) prices.
Analyze forward market price volatility and correlation assumptions as inputs for stochastic risk models.
Facilitate performance benchmarking of trading strategies and establish risk limits.
Energy Market Strategy:
Apply portfolio optimization methods to inform hedge strategy decisions, aiming to balance risk-adjusted revenue for renewable assets. Strategies include DART optimization, CRR/FTRs, and various hedge transactions like PPAs.
Conduct regular portfolio evaluations to identify profit opportunities and potential risks.
Work with the Market Fundamentals and Transmission teams to integrate long-term market perspectives into short-term risk mitigation strategies.
Support valuation efforts for short-term hedge and PPA contract negotiations.
Design and implement trading strategies for gas, REC, Capacity, Resource Adequacy, and transmission to minimize exposure to risk across the company's asset portfolio.
Reporting & Communication:
Collaborate with senior executives to define hedging and risk management strategies for renewable and conventional assets.
Create market dashboards using tools such as Power BI to provide insightful reports.
Participate in Energy Risk Committee meetings to present risk issues for review and approval.
Lead the creation of management reports detailing positions, exposures, and risk assessments
Key Qualifications:
Master's or Ph.D. in Engineering, Mathematics, Economics, or a related quantitative field.
5-10 years of progressively responsible quantitative experience in the energy industry.
Strong understanding of US electricity markets with direct experience in at least one ISO market.
Proficiency in developing predictive models using mathematical/statistical methods for energy market risk analysis, with expertise in option valuation and Greeks.
Advanced skills in at least one programming language (Python or R) for building and implementing complex statistical models.
Strong experience in SQL and data mining for developing trading algorithms.
Ability to develop power fundamental models for various energy market scenarios, including load and generation forecasting.
Familiarity with industry standards and regulatory expectations regarding risk management.
Experience in valuing transmission hedging, Resource Adequacy, and Capacity products.
Solid relationships with internal and external credit professionals to ensure compliance with risk and credit policies.
Exceptional communication skills, capable of conveying complex concepts clearly and concisely.
Proficient in Microsoft Office Suite (Word, Excel, PowerPoint) with strong financial and business acumen.
Ability to work well under pressure, managing multiple priorities in a high-performance, deadline-driven environment.
The salary banding for this position is $170,000 to $210,000 depending on a candidate's level of experience.