Description:
The Associate Market Risk Analyst is responsible for, monitoring the risk associated with PSEG Power's Nuclear generation assets and portfolio of energy derivative hedges, and drafting risk reports for management (including C-level executives) summarizing portfolio positions and risk levels. Modeling the risk associated with PSEG's exposure to energy prices, commodities, and interest rates, FX. Build out and maintenance of energy price simulation models, hedging models, cash-flow-at-risk models, and credit exposure models. Calibration of market risk models to market data (historical data & option implied data).
Day-to-day maintenance of Market Risk department's energy & commodity risk simulation application.
Job Responsibilities
- Monitor portfolio risk associated with PSEG Power’s fleet of nuclear electricity generation assets as well as physical & financial derivative hedges, monitor compliance with Hedging Practice, risk limits, and option limits, etc.
- Utilize energy risk software or internally developed models to assess cash-flow-at-risk, GMaR (Gross-Margin-at-Risk, VaR (Value-at-Risk), and credit exposure metrics such as PFE (Potential Future Exposure), and potential margin or collateral posting.
- Maintenance of energy risk software models and records including calibration of volatility and correlation models, price simulation models, derivative hedge transactions, ratable hedging models, and hypothetical stress tests
- Design, build, automate, and maintain risk reports, generation forecast reports, hedging reports, leveraging energy risk software system (Lacima) as well as Aligne ETRM (Energy Trading and Risk Management) software system report building functionality
- Support middle office services functions performed by PSEG for its external client LIPA (Long Island Power Authority) including:
- Maintenance of credit risk modules of energy risk application utilized to model LIPA credit risk
- Creation of month end P&L (profit and loss) reports for LIPA as well as hedge effectiveness analysis
- Creation of annual energy hedge requirement forecast updates for LIPA
- Valuation model validation: responsible for benchmarking of ETRM (Energy Trading and Risk Management) software energy and commodity transaction valuation models including forwards, futures, swaps, swaptions, and single and mutli-asset options, etc.
Job Specific Qualifications
- Master's Degree (in a quantitative field such as Quant Finance, Computational Finance, Financial Mathematics, Statistical Finance, or similar). In lieu of degree - 5 years experience (in lieu of a degree, experience would need to be specific to Energy Risk Management, or Financial Risk Management)
Other Qualifications:
- Ability to develop financial models using R, Matlab, or Python (or similar) programming language
- Knowledge of financial derivative pricing models, including financial option pricing theory
- Knowledge of various types of commodity hedging transaction types such as forwards, futures, swaps, and options
- Knowledge time-series analysis, and numerical regression analysis
- Ability to work with large sets of financial data
- (academic experience ok for all of the above)