Senior Quantitative Analyst I, II

Posted 63ds ago

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Job Description

Lead Quantitative Analyst at PJM overseeing models for credit calculations and supporting trade surveillance. Responsible for identifying market risks and enhancing simulation models.

Responsibilities:

  • Overseeing PJM's models for credit calculations and to support trade surveillance
  • Leading the analytical team to develop modeling to capture the risks of market participant activity
  • Identifying gaps in the current PJM markets where bad actors can take an unfair advantage of market rules
  • Using results to take appropriate steps to make changes in PJM's simulation models
  • Margin market participants appropriately and make changes governing documents to close perceived loopholes
  • Providing quantitative analytical support to identify simulation model enhancements
  • Maintaining historical simulation model that calculates margin requirement for FTR products
  • Conducting ad hoc analysis pertaining to margining of FTR products
  • Developing tools to analyze historical simulation model results
  • Developing risk controls and reporting to management
  • Interfacing with stakeholders, management, peers, and others to provide expertise in risk modeling
  • Analyzing PJM’s governing documents to design new PJM market rules and make changes to existing rules
  • Developing dashboard reporting and ETL procedures
  • Interacting with leadership and cross-functional teams to understand strategic changes

Requirements:

  • Bachelor's degree in Engineering, Mathematics, Economics or equivalent work experience
  • Ability to produce high-quality work products with attention to detail
  • Experience in quantitative and qualitative analysis
  • Ability to use mathematical and electrical theory
  • Ability to troubleshoot and provide technical support
  • Preferred: Master's degree in Engineering, PhD., Economics, Mathematics or Engineering
  • Experience with PJM operations, markets, and planning functions
  • Experience using PSS/e (power system analysis program)

Benefits:

  • Medical, vision and dental insurance
  • 401(k) plan with 100% employer match up to 5% of salary
  • Non-elective 401(k) employer contribution
  • Vacation and paid holidays
  • Tuition reimbursement
  • Life insurance
  • Accidental death and dismemberment insurance
  • Short-term and long-term disability coverage
  • Business travel and accident insurance
  • Child day care referral program
  • Employee assistance program
  • Adoption benefits recognized by the Dave Thomas Foundation for Adoption