Associate / Director, Risk Mgt

Job Level: Associate/DirectorBrief Description: Baltimore, MD Please see below.Full Description:
Summary of Responsibilities, Essential Duties & Expectations: The Quantitative Associate/ Director, Risk Management is responsible for: Work within the Structured Deal analysis group to understand, value and place risk metrics around new deals; examine how they have been modeled by origination, how they will be booked into the trading systems and how they are modified over time. Help in the valuation of financial and physical trading instruments and derivatives. Independent monitoring of risk models created by the front office or Strategists Develop models in support of various risk management functions Develop new risk metrics for management to better understand the risk /return tradeoffs of complex deals. Study the impact of hedging strategies, stress tests, critical exposures, risks interacting across various regions and commodities.
Qualifications (Experience, Competencies, Skills, Education): Ph.D. (in hard sciences or engineering) or Masters degree required in technical field, e.g., computational finance, mathematics, physics, economics, statistics or engineering. Requires 3-5 years’ experience in energy; OR an equivalent combination of education and experience from which a comparable level of knowledge, skills and abilities have been acquired. The following skills and experience are desired: Advanced knowledge of mathematics and statistics, especially the mathematical framework underlying the valuation and risk management of futures, options and other derivatives. A thorough working knowledge of options valuation as it relates to energy markets, especially North American gas markets. Advanced modeling and support of system operation, risk management, and valuation systems. A high level of proficient computer skills, including a thorough knowledge of SAS (preferred) or other tools of a similar nature A well developed understanding of the fundamentals of various North America power markets a good understanding of North American gas markets and familiarity with storage and transport valuation. Good knowledge of R or SPLUS; Matlab, C++, Visual Basic, or other advanced programming language. Extensive experience in the applied use of Microsoft Excel, Access
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