| Location: |
CA-San Francisco
West Coast (CA, OR, WA, AK & HI) |
| Salary Range: |
Competitive |
| Bonus & Incentives: |
15% bonus |
| Position Responsibilities: |
Fortune 500 company located in the heart of San Francisco’s financial district is seeking Quantitative Analysis Manager for the Risk Management department. This group is focused on the areas of risk analysis and controls, with responsibility for developing best risk management practices, developing models to measure company’s portfolio risks, validating key valuation models, monitoring trader’s compliance with respect to risk policies and limits, and communicating key business risks to senior management.
RESPONSIBILITIES
• Manage the Quantitative Analysis function including supervising and developing a staff of six employees
• Build and maintain a leading quantitative analysis function that enables the company to quantify risks, value positions, and determine and establish risk tolerance levels
• Provide key insights to decision makers for shaping risk issues for senior management
• Enhance the effectiveness of trading controls, and meet company’s target control objectives
• Achieve target performance rating for quantitative analysis function
Specific Risk Management tasks include:
• Developing risk management models to measure risks of different businesses and commodity-related transactions. Computing portfolio risk using time-to-expiration Value-at-Risk methodologies. Understanding complex portfolio composition and discerning and reporting on portfolio risks. This includes defining, building, and implementing appropriate models and methodologies for valuing assets and transactions. The portfolio includes physical positions and financial positions (such as fixed strike options, floating strike options, tolling options on two commodities, Asian options, fixed-for-floating swaps, and other types of exotic and real options).
• Modeling the stochastic properties of commodities futures, forwards and spot prices. Developing the estimation procedure of the model parameters and determining statistical significance of the results.
• Developing volatility and correlation models that capture observed price behavior while ensuring practicality for use in valuation and risk models. Estimating volatilities of forward contracts, calibrating implied volatility curves to available broker quotes. Assessing cross-maturity (such as between futures contracts with different delivery months) and cross-commodity correlations.
• Implementing and enhancing Monte Carlo energy price simulation models and methodologies to balance requirements for model accuracy, speed, and flexibility
• Evaluating the effectiveness of risk models in assessing the risk of the portfolio. Enhancing risk computation methodologies. Performing model back testing and portfolio stress-test analyses.
• Validating key models developed by all lines of business
• Assessing and reporting on the effectiveness of hedging strategies
• Configuring and maintaining risk management information systems. Working with Risk Management Systems team to design, develop, and implement effective processes and systems for risk measuring, monitoring and reporting functions.
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| Education and Certifications/Licenses: |
Bachelors |
| Mandatory Minimum Qualifications: |
• MS in Financial Engineering, Mathematical and Computational Finance, Physics, Statistics, Mathematics or other quantitative discipline
• Experience working with options pricing and risk models
• Ability to lead and manage workgroups, coach and develop others, think strategically and drive high performance
• Excellent written and verbal communication and organizational skills
• Ability to work both as part of a team and independently with multiple projects under tight deadlines
• Willingness to carry out ‘hands on’ as well as supervisory tasks
• Knowledge of energy industry and products is a plus
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| Preferred Qualifications: |
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| Additional Comments: |
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| Benefits: |
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| Overnight Travel: |
None Listed |
| Relocation Assistance: |
Other, Maybe |
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