Analysis & Modeling Risk Analyst, Expert
Requisition ID # 75021
Job Category : Accounting / Finance
Job Level : Individual Contributor
Business Unit: Finance
The Market and Credit Risk Management (M&CRM) department consists of Credit and Emerging Risk, Governance, Analysis and Modeling, and Infrastructure and Controls functions. PG&E engages in various standard and nonstandard natural gas and electric procurement activities, and it is the responsibility of the M&CRM department to facilitate transaction execution and assist in mitigating market, credit and liquidity risks associated with contractual obligations and associated potential liquidity requirements.
Expert, Analytics and Modeling is a team member leading in the design, development, implementation, maintenance and validation of models, algorithms and processes used in risk analyses, forecasting and transaction valuation, as part of large-scale middle office systems. A front-line developer working on technical development phases: data engineering, analytics/modeling, data science and presentation layers. The Expert Works with other groups within M&CRM and the rest of PG&E to determine and meet their computational finance needs.
- Front line development and coding of numerical algorithms in computational finance regarding energy risk management.
- Quantitative analysis of energy commodity prices, derivatives and transactions as needed for decision support in multiple lines of business.
- Build frameworks for implementing tools and processes to improve quality and timeliness of risk reports.
- Development of risk metrics and stress scenarios.
- Design of analytical and diagnostic tools to ensure accuracy and timely computation of risk metrics and facilitate analyses of energy portfolios.
- Measurement of hedging strategies and programs.
- Validate financial models for multiple lines of business
- Promote a culture, through effective risk awareness, where employees take accountability for models and analysis.
- Bachelor's in Industrial Engineering Operations Research, Information Systems, Data Science, Business, Engineering, Financial Engineering, Economics, Statistics, or Mathematics, or equivalent experience.
- Minimum of seven (7) years of experience in analytical methods and modeling
- Master's in Industrial Engineering Operations Research, Information Systems, Data Science, Business, Engineering, Financial Engineering, Economics, Statistics, Mathematics, or equivalent experience
- Utility or Energy Industry experience preferred
- 8 years of experience in energy risk analytics, modeling or forecasting
- 5 or more years of experience in some relevant programming languages and tools - for example Python, MATLAB, FORTRAN, C++, C#
- 3 years of experience implementing complex numerical algorithms at the code library level, such as Monte Carlo simulation, network optimization, or real option valuation
- 3 years of experience in data management within a commodity trading environment
- 3 years of Utility or energy industry experience.
- Experience of risk and compliance techniques as needed to perform at the job level
- Experience with agile development techniques
- Proven oral and written communication skills.