Risk Analyst

Risk Analyst

This position will be responsible for creating, analyzing, and reporting forward price curves for multiple energy commodities; modeling client positions including complex option transactions; calculating and reporting the mark-to-market of ACES' clients' portfolios on a daily basis; creating and analyzing market parameters including volatility and correlation; supporting advanced risk analytics including Value-at-Risk, Potential Future Exposure, and Monte Carlo simulation techniques.

Duties and Responsibilities

• Responsible for the forward curve process - the schedule of market parameter values including prices, volatility, correlation, and interest rates over future time periods - including:
  • Calculating price curves on a daily basis per the documented methodology.
  • Analyzing price changes to track trends or identify errors.
  • Calculating and analyzing other market parameters as needed by the Portfolio Valuation Team.
  • Assures accuracy in the forward curves by adhering to the documented processes and testing results for the purpose of providing quality information for internal and external reference.
  • Posts Forward Curve Reports to the client web portal.
  • Continually audits the process to respond to changes or improve the execution of the liquid pricing source, long term model, short term model, or blending segments of forward curve creation.
• Responsible for the Mark-to-Market (MtM) process including:
  • Daily calculation of the MtM of all client portfolios.
  • Analyzes MtM values and day-over-day changes to insure accuracy and validate results.
  • Accurately reports the MtM values to the client web portal.
  • Notifies any downstream teams or processes of MtM completion and availability.
• Executes and supports advanced Risk Analytics including Value-at-Risk, Potential Future Exposure, Risk-Responsive Hedging and other Monte Carlo simulation or parametric analysis.
• Continually advances technology and skills to maximize efficiency and capability within the Portfolio Valuation Team.
• Uses and interprets complex financial option models to value client transactions including simple, spread, and swing options and gas and battery storage.
• Maintains the desk procedures, Mark to Market Methodology, and any other process documentation.
• Ensures the accuracy of posted web reports.
• Provides daily, weekly and monthly reports to ACES' clients as required.
• Responds to requests from ACES' clients.
• Interfaces with ACES clients and external counterparties as needed.
• Works with Credit as necessary related to changes in valuations and margin calls.
• Assists with the SOC 1 Audit by complying with auditor requests.
• Participates as an active team member by joining committees and working groups, attending/conducting meetings and training, showing respect for co-workers, encouraging feedback, contributing insights and opinions, and reflecting a positive attitude and work ethic.
• Ability to travel.
• Adheres to and is supportive of all ACES corporate policies and complies with all regulatory requirements including but not limited to NERC, FERC and relevant state regulations as applicable to the position.
• Any additional responsibilities assigned by management.

Qualifications

• Bachelor's Degree in an appropriate discipline (MBA or MS/MA in Economics, Finance or Data Science preferred).
• Strong verbal and written communications skills.
• Strong analytical, organizational, and interpersonal skills.
• Solid aptitude for math, market economics, accounting, and finance.
• Advanced knowledge of MS Excel including VBA macros.
• Coding skills in R, Python, or equivalent. Experience with SQL or visualization software a plus.
• Sufficient financial modeling knowledge to value complex options.
• Must be able to effectively follow through on projects and duties.
• Ability to solve problems, make decisions and prioritize their resolution.
• Must possess sound business judgment.
• Must be a team player.
• Must be self-motivated and organized.