Senior Quantitative Analyst, Risk Analytics

Constellation; Baltimore (MD); On-site; USD 124,000 - 138,000; Full time

Job summary

Constellation is seeking an experienced risk modeling professional in Baltimore to design and build our risk modeling infrastructure. You will develop and validate models, provide quantitative analyses to risk and commercial teams, and help shape hedging and pricing strategies in a fast-paced energy environment.

The role requires strong programming, math, and finance skills, with responsibility for pricing, risk reporting, and capital framework development.

Qualifications

• Bachelor’s degree in economics, quantitative finance, mathematics, physics or equivalent quantitative disciplines.
• Minimum 5 years related experience in quantitative or financial valuation role; advanced degree can substitute for 2 years.
• Fundamental understanding of derivative products valuations including forwards and futures, options, swaptions, and exotic options.
• Understanding of probability theory, applied and financial math concepts and techniques.
• Substantive experience using programming languages or analytical packages such as Python, Matlab, C/C++, R, SAS, and SQL.
• Self-starter with ability to work independently and collaborate across levels.
• Ability to perform under time pressure with high accuracy, prioritize tasks, build consensus, and adapt to changing needs.

Responsibilities

• Proposing risk metrics and building risk modeling infrastructure.
• Provide quantitative analyses to Risk and Commercial functions.
• Validate production models.
• Develop risk capital framework.
• Validate option pricing and volatility/correlation curves.
• Oversee the production code change management.
• Support Strat Plan/SPA update.
• Provide risk pricing of standard products and structured deals.

Skills

Python

MATLAB

C/C++

R

SAS

SQL

Financial modeling

Derivative pricing

Education

Bachelor's degree in quantitative field

Job description

Who We Are

As the largest private-sector power producer in the world and the nation's largest producer of clean and reliable energy, Constellation is focused on our purpose: lighting the way to a brilliant tomorrow for all. We have been the leader in clean energy production for more than a decade, and we are cultivating a workplace where our employees can grow, thrive, and contribute. Now integrated with Calpine, our portfolio includes 55 gigawatts of capacity from nuclear, natural gas, geothermal, hydro, wind and solar facilities, with the generating capacity to power the equivalent of 27 million homes.

Who We Are

As the largest private-sector power producer in the world and the nation's largest producer of clean and reliable energy, Constellation is focused on our purpose: lighting the way to a brilliant tomorrow for all. We have been the leader in clean energy production for more than a decade, and we are cultivating a workplace where our employees can grow, thrive, and contribute. Now integrated with Calpine, our portfolio includes 55 gigawatts of capacity from nuclear, natural gas, geothermal, hydro, wind and solar facilities, with the generating capacity to power the equivalent of 27 million homes.

Our culture and employee experience make it clear: We are powered by passion and purpose. Together, we're creating healthier communities and a cleaner planet, and our people are the driving force behind our success. At Constellation, you can build a fulfilling career with opportunities to learn, grow and make an impact. By doing our best work and meeting new challenges, we can accomplish great things. Join us in meeting the country's energy needs today and tomorrow.

TOTAL REWARDS

Constellation offers an extensive selection of benefits and rewards to help our employees thrive professionally and personally. We provide competitive compensation and a wide-range of benefits that support both employees and their families, helping them prepare for the future. In addition to highly competitive salaries, eligible employees are offered a bonus program, 401(k) with company match, employee stock purchase program; comprehensive medical, dental and vision benefits, including robust wellbeing programs; disability and life insurance benefits; paid time off for vacation, holidays, and sick days; and much more.

Expected salary range of $124,200 to $138,000, varies based on experience, along with comprehensive benefits package that includes bonus and 401(k).

Primary Purpose Of Position

This job has responsibility for proposing and developing new risk models, building risk modeling infrastructure, designing and prototyping risk metrics, overseeing the daily production of risk reporting systems and databases, providing analytical support to Risk and Commercial functions, overseeing the risk pricing methodologies, testing Risk system soundness given upstream system changes, and managing Risk IT initiatives. Design and prototype new market, credit, liquidity, and operational risk metrics, assist with the establishment of risk controls and monitoring activities Building the Risk modeling infrastructure including the production models, automated reports, databases, job scheduling systems. Provide quantitative analyses for Risk functions, commercial teams, and the finance group. Examples include alternative commodity hedging strategy assessment, standard product risk premium pricing matrix development, price verification, hedging effectiveness testing, and financial planning. Owns the risk pricing methodologies for standard products, provide regular updates, and. communicate to commercial team drivers of the changes. Work closely with all risk functions, business owners, and IT on developing efficient risk reporting tools. Maintain and expand the existing Risk reporting system, analytical tools, and databases which are used by the Risk Management Group for measuring and analyzing risks associated with the company's portfolios. Participate in the SAS system architecture design and enhancements. Diligently pursue information and conduct research to understand energy products, introduce best business practices, and propose new modeling methodologies. Pricing capital costs and risk premiums for standard products

Primary Duties And Accountabilities

• Proposing risk metrics and building risk modeling infrastructure
• Provide quantitative analyses to Risk and Commercial functions
• Validate production models
• Develop risk capital framework
• Validate option pricing and volatility/correlation curves
• Oversee the production code change management
• Support Strat Plan/SPA update
• Provide risk pricing of standard products and structured deals

Minimum Qualifications

• Bachelor's degree in economics, quantitative finance, mathematics, physics or equivalent quantitative disciplines.
• Minimum 5 years related experience in quantitative or financial valuation role; Advanced degree in economics, quantitative finance, mathematics, physics or equivalent quantitative disciplines can be used in lieu of 2 years of experience.
• Fundamental understanding of derivative products valuations including forwards and futures contracts, options, swaptions, and exotic options
• Understanding of probability theory, applied and financial math concepts and techniques.
• Substantive experience using programming languages or analytical packages commonly used in model development, such as Python, Matlab, C/C++, R, SAS, and SQL.
• A motivated self-starter and creative thinker with the ability to work independently and collaboratively with colleagues at all levels of the organization. Driven to develop and maintain effective relationships with internal and external partners.
• Demonstrated ability to perform responsibilities under time pressure with a high degree of accuracy, to prioritize multiple tasks effectively, build consensus, and adapt to evolving business needs.

Preferred Qualifications

• Databricks experience.
• PhD preferred.
• Prior experience in quantitative role in the finance/energy industry.
• Excellent communication, presentation, and interpersonal skills with the ability to discuss technical subjects with a wide variety of audiences.