Job Description:
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We are looking for Quantitative managers for our clients on the West coast. Key skills needed are strong hands-on quantitative modeling experience, people management skils and risk management. Experience in either Energy Trading, MBS, Fixed Assets, Equity, Interest Rate derivatives, Options , Investment banking would be a plus.
Position Summary
Manager- Quantitative/ Risk is a position within the Quantitative Team. This position is expected to supervise quantitative analysts (3 to 4 direct reports) in the areas of risk analysis and modeling, model validation, portfolio risk management, stress testing, hedge effectiveness analysis and provide leadership in completing projects in a timely manner.
Responsibilities
· Risk Analysis and Modeling: Mathematical modeling of commodity ( energy) prices, derivatives and transactions as needed to analyze and quantify risks. This may involve stochastic modeling of forward and spot prices, estimation of model parameters (such as volatility, correlation, mean reversion rate, etc. as appropriate), determining statistical significance of the results, and implementation and enhancement of Monte Carlo energy price simulation models and methodologies including balancing requirements for model accuracy, speed, and flexibility.
· Model Validation: Perform review of models developed by Front Office quant team and other sources as needed and the key risk models developed by Mid Office quant team.
· Portfolio Risk Management: Compute portfolio risk using time-to-expiration Value-at-Risk methodologies. Understand complex portfolios composition and discern and report on portfolio risks. Such portfolios may include a variety of physical assets (such as manufacturing plants and a number of financial instruments (such as fixed strike options, floating strike options, tolling options on two commodities, Asian options, fixed-for-floating swaps, other types of exotic and real options).
· Stress Testing: Perform stress tests to determine portfolio level impacts on energy procurement costs.
· Hedge effectiveness analysis: Assess and report on the effectiveness of hedging strategies and programs.
· Projects: Provide leadership in completing projects related to implementation of quantitative models and risk systems.
Qualifications
Required
· Excellent written and verbal communication skills
· 9+ years relevant experience mathematical and computational finance of which at least 3 years of experience must be at management level.
· Programming experience in VBA, Matlab, SQL, and relational database
· Degree in Financial Engineering, Mathematical and Computational Finance, Physics, Statistics, Mathematics or other quantitative discipline
Desired
· Advanced degree in Financial Engineering, Mathematical and Computational Finance, Physics, Statistics, Mathematics or other quantitative discipline
· Energy experience
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