Job Description

Position Summary

Responsible for developing the firm’s official a) deal pricing and system valuation models, b) illiquid market parameter models, c) risk and return metrics, d) risk position reports, and e) risk system development and optimization. Subject matter expert on pricing and valuation as well as risk system maintenance and optimization. Responsible for creating confidence in the energy commodity trading risk system. Design and implement interim and long term strategies optimizing energy commodity quantitative systems, pricing and valuation methods, data strategies as well as valuation, risk, P/L measurement methods and risk distribution tools. As a manager of staff, develop and lead a team to successfully implement initiatives and achieve goals, including all managerial duties.

Essential Responsibilities

Develop, seek review and approval for, document, and implement standard pricing and valuation models, risk and return measurement tools, illiquid market parameter models and risk position reports.
Develop and implement pricing and valuation efforts to achieve risk management objectives.
Ensure data, pricing, valuation and risk system design methods comply with best practices.
Coordinate with key internal customers to ensure Risk System outputs facilitate efficient and effective downstream analysis. Work closely with direct and indirect IT support and external vendors.
Garner support for model and system development plans via successful networking across the organization, including Commercial and Risk personnel, senior executives and key support partners.
Ensure Pricing & Valuation tools are leveraged across the trade floor by commercial and control personnel.

Minimum Requirements

MA in a numerate discipline, such as computer science, mathematics, engineering, physics or similar quantitative field; PhD preferred.
Eight years of deal structuring and risk management experience including pricing and valuation models of complex, structured energy commodity products.
Extensive experience using statistical and distribution estimation methods to model and explain contract risk characteristics.
Extensive knowledge of standard quantitative/computational finance methods as applied to pricing energy commodity market real options and structured products.
Extensive experience with parameter estimation.
Extensive experience with Python or related programming language; C++ desirable.
Effective in communicating and understanding the goals of Senior Management, Commercial Leadership and Key Control Functions.
Solves complex problems and leads effectively among demanding customers on a fast paced energy trade floor.