Quantitative Risk Manager Power & Gas - Hedge Fund

Responsibilities:

• Identifying, capturing, and communicating material risks of the business, including credit, tail risk, liquidity, and convexity.
• Ensuring that risk-taking at the individual portfolio level and at the firm level is efficient and deliberate, by setting appropriate risk guidelines and limits.
• Developing and advancing stress testing and VaR frameworks.
• Developing and maintaining a framework for capital allocation to maximize risk-adjusted returns and profitability at the various business levels and at the firm level.
• Actively managing the firm’s risk exposures through regular meetings, analysis and insights.
• Leading research efforts to develop innovative risk management approaches, tools and analytics by leveraging the collective knowledge of the platform.
• The goal is to enhance the quality of performance and improve the firm’s risk-adjusted return.
• Enhancing management’s understanding of investment performance by developing intuitive and efficient frameworks for performance attribution and educating all internal constituencies on those frameworks.
• Provide additional support with other risk managers in managing the market risk across the Macro business. Manage and mentor Quantitative Analysts on the team. 

About you:

• Minimum 5 years experience as a Risk Manager covering US & EU Power & Gas Products
• Strong understanding of Pricing models, risk sensitivities, best practice for risk aggregation.
• Prior experience working with Portfolio Managers / Traders
• Advanced programming experience with Python
• Advanced degree in Quantitative discipline (Computer Science, Mathematics, Statistics, Financial Engineering, Quantitative Risk Management)