Quantitative Market Risk Analyst
1 week ago
Always there. Anywhere. That's us We are committed to delivering inspired solutions for a better world. We care about our communities, we care about each other, and we care about showing up for those who need us. We value and encourage different perspectives and we have the courage to do the right thing, even when it's hard.
The Quantitative Market Risk Analyst position provides an excellent opportunity for you to be at the center of major developments in the field of market risk pertaining to commodities (Nat Gas, Power Trading, Renewables), environmental and emission products (RECs, Carbon Offsets, etc.) as well foreign exchange and interest rates. You will also be involved in the implementation and deployment of counterparty credit risk models (PFE & XVAs).
As the Quantitative Market Risk Analyst, you will have a broad set of opportunities for interaction with a wide range of internal functions as well as senior management within ATCO. You will also assist the Manager Commodity Risk in supporting strategic commercial initiatives through the application of sound risk management practices.
We're looking for someone who cares about their work and strives for more each day. Someone who challenges the status quo, embraces change, and thrives in a collaborative work environment. If you are someone who approaches work with passion, curiosity and the courage to innovate, then this role is for you.
What You Get to Do:
- 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
- Provide technical advice on Energy Trading and Risk Management System (ETRM) configuration pertaining to position and Mark to Market (MtM) reporting, curve construction as well as market risk and counterparty credit risk measures
- Perform model performance testing, including portfolio back-testing using historical data.
- Write and review model documentation
- 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
Who You Are:
- Master's Degree in quantitative discipline preferred
- CFA, FSA/ASA, FRM, PRM or any relevant designation would be an asset
- 3-5 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
- Able to read and write code using a programming language, in R, Python, SQL, Power BI
- 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.
- Excellent communications 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
What We Offer:
- A culture based on caring, integrity, agility, collaboration, and striving for excellence
- Competitive compensation
- Flex benefits
- Tuition assistance program
- Training and mentorship programs
- Charitable donation matching
We would like to thank everyone for their application; however, only those being considered for an interview will be contacted.
Canadian Utilities is part of ATCO Ltd. ATCO delivers inspired solutions for a better world. We are a diversified global corporation with investments in the essential services of Structures & Logistics, Utilities, Energy Infrastructure, Retail Energy, Transportation and Commercial Real Estate. Learn more about how we build communities, energize industries and deliver customer-focused solutions like no other company in the world at www.atco.com.
At ATCO, we support a diverse and inclusive environment that values the contributions and perspectives of everyone on the ATCO team. We believe the ATCO team is the foundation of our business and our most valuable asset across our global operations. Without each team members' unique skills, strengths, and knowledge, we simply wouldn't be able to achieve our fundamental vision of delivering life's essential services to our customers around the world.
ATCO is an equal opportunity employer, and we do not discriminate on the basis of race, religion, color, national origin, sex, gender, gender expression, sexual orientation, age, marital status, veteran status, or disability status.
#hiring
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