Quantitative Risk Analyst
Quantitative Risk Analyst
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Job Description
WHO WE ARE:
Do you want to be part of the Canadas exciting energy transition through the development of energy storage renewables hydrogen and carbon capture and sequestration If you have an entrepreneurial spirit coupled with strong business acumen and a customer service approach we are looking for you to join our team and share our vision commitment and values. ATCO EnPower represents a diverse collection of assets strategically positioned to meet the evolving energy needs of our customers. ATCO EnPower holds a competitive position in the Alberta Industrial Heartland with hydrocarbon salt cavern storage and industrial water addition ATCO EnPower owns and operates strategic energy assets such as natural gas storage wind and solar power generation hydro-power generation and northern energy solutions. This diversity uniquely positions ATCO to execute on its core vision of Delivering Inspired Energy Solutions for a Better World and will position ATCO as a leader in this generational energy transformation.
KEY ACCOUNTABILITIES / RESPONSIBILITIES:
Reporting primarily to the Manager Commodity Risk the Quantitative Risk Analyst is a key resource in measuring and modelling market risk pertaining to commodities (Nat Gas Power Trading Renewables) environmental and emission products (RECs Carbon Offsets etc.). The Quantitative Risk Analyst will also be involved in the implementation and deployment of counterparty credit risk models (PFE & XVAs).
This role creates a broad set of opportunities for interaction with a wide range of internal functions as well as senior management within ATCOs.
The Quantitative Risk Analyst will also assist the Manager Commodity Risk in supporting strategic commercial initiatives through the application of sound risk management practices
Responsibility Area #1 Measurement
Measure and monitor market risk and counterparty credit risk exposures for commodities (natural gas storage assets power trading renewables) environmental and emission products as well as foreign exchange and interest rates
Develop maintain and support market risk and counterparty credit risk models (VaR CVaR EaR CFaR PFE XVAs); design and develop in-house tools for quantitative analysis. Develop and deliver advanced market risk data analytics solutions
Responsibility Area #2 Model Risk Management
Perform model performance testing including portfolio back-testing using historical data.
Write and review model documentation
Responsibility Area #3 Technical Expertise and Support
Support the launch of new products and pricing models
Develop risk reports using R Python SQL Power BI
Participate in development maintenance and support of the Enterprise Risk Management system
Assist Manager Commodity Risk with risk-related questions and analysis
Provide technical advice on ETRM configuration pertaining to position and MtM reporting curve construction as well as market risk and counterparty credit risk measures
SKILLS & QUALIFICATIONS:
- Masters Degree in quantitative discipline preferred.
- CFA FSA/ASA FRM PRM or any relevant designation would be an asset.
- 2 years of experience in Model Development or Validation in finance/risk management or Middle/Front Office Quant role.
- Solid knowledge in quantitative finance and financial risk management:
- Risk management methods; value-at-risk PFE XVAs stress testing back testing.
- Financial mathematics; derivatives pricing models stochastic calculus statistics and probability theory.
- Econometrics; time series analysis GARCH fat-tailed distributions.
- Numerical methods and optimization; Monte Carlo simulation and finite difference techniques.
- Ability to challenge model methodologies model assumptions and validation approach.
- Proficiency in technical and scientific documentation (e.g. white papers user guides etc.).
- Able to read and write code using a programming language (e.g. R Python etc.).
- Financial products knowledge: good understanding of markets and financial derivatives in commodity foreign exchange and interest rates products.
- ETRM experience (knowledge of FIS Align and TRM Hitachi Energy a plus).
- Experience with Palisade @Risk would be a plus.
- Attention to detail and the ability to work thoughtfully and independently.
- Well-developed interpersonal communication and organizational skills.
- Organized with an ability to multi-task in a rapidly changing environment against a backdrop of time and workload pressures.
- Ability to establish effective relationships within the organization (Front Office Business Development Accounting Treasury and Internal Audit) and externally.
- High end quantitative skill set with extensive Excel and spreadsheet experience.
- Ability to perform analytics using sophisticated macro-analysis of data from numerous sources formulating rational conclusions and recommendations therefrom.
- Flexibility initiative resourcefulness and the ability to work as an effective team member.
We would like to thank everyone for their application; however only those being considered for an interview will be contacted.
Final candidates will be required to undergo a Security Clearance Check.
ATCO is an Equal Opportunity Employer. All qualified applicants will receive consideration for employment without regard to race color religion sex national origin disability status protected veteran status sexual orientation gender identity or any other characteristic protected by law.
Required Experience:
IC
Employment Type
Full-Time
