Manager
- Developing pricing models and hedging tools for EAC products and business lines including both financial and physical products.
- Working with the trading desk to investigate valuation and hedging questions.
- Manage PL from Energy trading activities, and evaluate the accuracy of trader supplied valuations. It includes calculating and analyzing PL be able to explain PL movements based on attributions such as Delta, Gamma, Vega, Cross Sensitivities Etc.
- Obtain independent quotes for the trading portfolio from third party energy commodity valuations for linear and non linear products and revalue portfolio. Perform calculation of various valuation reserves.
- Developing pricing strategies for structured transactions.
- Enabling rapid new product introduction through tactical solutions.
- Providing analytic content in joint projects with the risk management and technology groups, such as credit reserve modeling and Value-at-Risk.
- Participating in developing models for asset classes other than EAC products as the opportunity arises.
Qualifications:
- MS/Ph. D degree in Computer Science, Mathematics, Engineering, Physics or other quantitative disciplines is desired
- Advanced mathematical finance expertise and strong quantitative and problem solving skills.
- Strong knowledge of energy and/or agriculture markets and models.
- 3 to 5 years of experience in Commodities trading business with direct experience in ENERGY DERIVATIVE products and heavy focus on Non-Linear products (Swaptions, Options) and valuation.
- Strong programming skills - particularly C++, VBA, Matlab, Unix, Excel.
- Ability to work well in a fast-paced environment with changing priorities.
- Strong communication and interpersonal skills and a team player.
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