US FTR, Gas and Power Risk, Quantitative Researcher

Job Description

We are looking for an outstanding Quantitative Researcher to join our Commodities Risk Management team, reporting to the Head of Commodities Risk Analytics and Risk Advisory.

The US FTR, Gas and Power Risk, Quantitative Researcher will partner with the risk and investment teams to build trading, risk, and physical commodity models to help grow the Commodities business.

Responsibilities

• Formulate and implement models for risk analysis of commodity products and derivatives, including methodologies for constructing term structures and volatility surfaces.
• Improve and extend existing risk reporting tools, including risk analysis, P&L attribution, and portfolio construction, with a focus on both regular periodic reporting and ad-hoc requests.
• Develop methodologies and procedures to conduct historical and hypothetical stress testing, and analyze the results using standardized statistical metrics.
• Work with Risk Management to configure and calibrate risk systems.
• Apply quantitative methods to solve risk topics, such as estimating market liquidity and liquidation costs.
• Contribute to the overall risk management team at BAM in risk analytics, processes, and reporting. This may involve ad-hoc risk analysis for portfolios that are not commodities-focused or investigating the impact of a commodities-focused portfolio on the overall risk of the firm.
• Contribute to Global Risk Committee’s understanding of risk drivers and considerations in related markets.
• Collaborate with the technology team to automate, maintain, and enhance integration of research and reporting solutions into the existing infrastructure.
• Work with risk management to onboard new portfolios and products.

Requirements

• 10+ years of experience as a commodities quant, strategist, or quantitative risk officer at a fund, investment bank, or physical energy trading firm.
• Expertise in US FTR, Gas and Power, with strong experience in supporting FTR trading.
• Strong academic background (master’s or PhD) in quantitative fields such as math, physics, engineering, statistics, economics, or finance.
• Experience valuing and modeling physical commodity assets and structured transactions (e.g., gas or oil storage, power tolls, transmission).
• Experience with as many of the following commodities as possible: electricity, natural gas, crude oil, oil products, energy assets, agricultural commodities, structured transactions, shipping.
• Experience with seasonality in commodities risk models.
• Strong programming skills in Python and SQL; familiarity with numeric libraries such as pandas and numpy.
• Strong problem-solving skills and the ability to communicate complex ideas clearly in a collaborative environment.

Nice to Have

• Advanced Python knowledge, including management of virtual environments, release processes, or multiprocessing.
• Experience developing Plotly Dash dashboards and other data visualization tools.
• Experience at a hedge fund or other asset management firm with exposure to systematic futures strategies or portfolio construction.
• Experience with factor analysis, PCA, decomposition models for P&L and risk, or machine learning.

Location & Compensation

For applicants in New York, California, and Illinois, the starting base pay range is $200,000 to $275,000 annually. Actual base pay depends on experience, business needs, and market demands. This role may be eligible for bonus compensation and employee benefits.