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Supervisor Quantitative Analytics job - Washington Gas - Washington, District of Columbia

 
Company Name

Washington Gas jobs

Position Type Full-Time
Job Location

Washington, District of Columbia DC

Job Posted November 1, 2009
Source www.careerbuilder.com

Supervisor Quantitative Analytics  



/ Quantitative Analytics supervisor is responsible for providing mathematical analysis regarding the risks inherent in the purchase/sale of commodities at WGL and WGES. Examples of Specific Tasks/Responsibilities ' Defining, building, & implementing appropriate valuation models & methodologies ' Develop risk models using time-to-expiration Value-at-Risk methodologies ' Validate key valuation models developed by all lines of business ' Consults with Commercial units and Treasurer on hedging risk/strategies; Provide key insights to decision makers, shaping risk issues for senior management ' Understanding complex portfolio composition & communicate key business risks to senior management ' Supervise risk compliance analyst ' Implement & enhance Monte Carlo price simulation models & methodologies ' Perform model back testing and portfolio stress-test analyses. ' Assess and report on the effectiveness of hedging strategies. ' Determine the correct structure for all pricing points (i.e. basis, fixed price, formula, etc.) ' Determine the correct sources for all pricing input Where ...

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