Commodity Market Risk Analyst
ATCO
- Calgary, AB
- Permanent
- Full-time
- Validate all transaction details to the relevant risk management systems
- Foster a cooperative error-resolution effort between front, middle, and back offices
- Develop and maintain documentation outlining standard procedures for conducting business
- Maintain risk systems and support risk systems and infrastructure development efforts
- Monitor compliance with policies, guidelines, and limits, report violations
- Provide daily report of risk exposures (e.g., P&L positions and change drivers)
- Perform periodic back-testing and stress testing
- Calculate MTM and risk metrics such as VaR, EaR, and CFaR of portfolios daily
- Analyze and explain changes in the portfolio
- Calculate and monitor position Greek
- Develop and maintain market risk models
- Validate and model forward curves for all commodity exposures
- Support stochastic modeling of power and gas spot and forward prices in Alberta as well as stress testing and scenario analysis
- Provide adhoc valuation including risk metrics for physical and financial products
- Support continuous business improvement through assessment of the effectiveness of Commodity Risk's processes and control environment, particularly related to valuation and risk metrics, and enhancement of these processes and controls
- Supports the management of governance meetings (e.g. committee, management, board meetings, etc.) as required; facilitates development and approval of agendas, gathering and distribution of documentation related to agendas, and creation of meeting minutes/output
- Provide stewardship of the Energy Risk Management Plan
- 5-7 years of experience in a commodity risk management environment. Previous experience in the Electricity or Gas industry is preferred
- Undergraduate degree in Economics, Finance, Statistics or, Mathematics
- Working towards a Chartered Financial Analyst (CFA), Financial Risk Manager (FRM), Professional Risk Manager (PRM) or another relevant designation is preferred
- Experience in the use and configuration of broad-based commodity risk management systems would be considered an asset
- Experience in Commodities Risk (Alberta Natural Gas and Power markets would be a plus)
- Knowledge of market risk concepts such as VaR, tail exposure, stress-testing, back testing, P&L, MtM
- Knowledge of financial hedging on commodity products
- Demonstrated knowledge to write and troubleshoot Excel macros, VBA codes and automation tools
- Data analysis and coding skills including SQL, Python or R would be a plus
- Familiar with Energy Trading Risk Management software (FIS Align ETRM systems would be a plus)
- 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 (Marketing, Business Development, Accounting, Treasury, and Internal Audit) and externally
- 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