US FTR, Gas and Power Risk, Quantitative Researcher

Responsibilities

• 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.
• 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.
• 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 fund, investment bank, or physical energy trading firm.
• Expertise in US FTR, Gas and Power. In particular, strong experience in supporting FTR trading is required.
• Strong academic background (masters/doctorate) in quantitative fields such as math, physics, engineering, statistics, economics, or finance.
• Experience 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, 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.