Exelon Risk Control Analyst (Curve Governance) in BALTIMORE, Maryland
At Exelon, we've got a place for you! Join the nation's leading competitive energy provider, with one of the largest electricity generation portfolios and retail customer bases in the country. You will be part of a family of companies that strives for the highest standards of power generation, competitive energy sales, and energy delivery. Our team of outstanding professionals is focused on performance, thought leadership, innovation, and the power of ideas that come from a diverse and inclusive workforce. Exelon will provide you the tools and resources you need to design, build and enhance a successful career. We are also dedicated to motivating the success of our employees through competitive base salary, incentives, and health and retirement benefits. Join Exelon and share your passion at a forward-thinking Fortune 150 company. Establish yourself in a place where you can truly shine and create a brighter, more sustainable tomorrow. Energize your career at Exelon!
PRIMARY PURPOSE OF POSITION
As a key member of the Commercial Risk Organization, this position will require a thorough attention to detail and offer an opportunity for the employee to gain an in-depth understanding of the physical and financial products offered by the Company, as well as, the marketplace in which it transacts. This position is responsible for administering the Curve Governance processes for the commercial organization to ensure the adherence to established Risk Management policies and procedures largely associated with volatilities within the options portfolio.
This role is vital to ensuring that all risks are properly identified, characterized, valued, and reported on a consistent and timely basis. The Curve Governance Analyst is responsible for the development of independent forward volatility and correlation curves utilizing broker, consensus and other external data to ensure proper risk reporting.
PRIMARY DUTIES AND ACCOUNTABILITIES
Draw on knowledge of programming in MATLAB, Python, R, C , SQL, VBA, advanced statistical analysis, and financial modeling/derivatives valuation skills to develop and maintain the models that guide the company’s financial and physical trading, portfolio management, and risk assessment activities.
Responsible for Price verification which validates internal price curves (domestic and international markets) and volatilities by using market consensus data and broker quotes.
Provide validation of financial controls related to curve marking in support of Constellation’s Sarbanes Oxley compliance, internal and external audits.
Develop new volatility models (power, natural gas, emissions, and heat rates) and improve existing ones to better represent energy market uncertainties.
Ensure accurate inputs (price-related and volatility/correlation inputs) that feed into Analytical Modelling Platform (portfolio modeling simulation engine used for transaction valuations, financial disclosures, and LRP and LE processes).
Build and maintain quantitative modeling and statistical methods as needed.
Provide explanations of the modeling and its results to front-office traders, pricing analysts, portfolio management, accounting, senior risk and commercial leaders.
Design and evaluate appropriate risk metrics for internal and external disclosures.
Monitor and respond to business needs by staying abreast of developments in the energy markets and within the organization and provide analysis/reports to meet those needs.
Present risk metric reports at the Commercial Group Risk Committee monthly and at the Quarterly Review Meetings with Accounting quarterly.
Undergraduate degree in Finance, Engineering, Math, Accounting, Business or related quantitative discipline required.
1-3 years of experience in a business or quantitative related position.
Strong organizational and verbal communication skills.
Strong math and analytical skills with attention to detail.
Knowledge of MATLAB, Python, R, C , SQL, and VBA programming.
Ability to challenge the status quo and confidence to independently challenge price and vol curve valuations.
Demonstrated ability to work closely with peers in a teamwork environment.
Master’s degree in Finance, Engineering, Math, Accounting, Business or related quantitative discipline required.
Experience with financial or energy markets preferred.
The preceding position description is intended to provide the general nature and level of work to be performed by employees within this classification. It is not intended to be a detailed description of the position or a comprehensive listing of all duties, responsibilities, and qualifications required of employees assigned to this position, nor is it intended to indicate the exact amounts of time an individual will perform various position duties.
Exelon is proud to be an equal opportunity employer and employees or applicants will receive consideration for employment without regard to: age, color, disability, gender, national origin, race, religion, sexual orientation, gender identity, protected veteran status, or any other classification protected by federal, state, or local law.
VEVRAA Federal Contractor EEO is the Law Posterhttp://www1.eeoc.gov/employers/poster.cfm
Job Risk Management - Staff
Organization: BSC Risk Management
Title: Risk Control Analyst (Curve Governance)
Requisition ID: 213216