Sr Quantitative Analyst
Calpine Corporation is America's largest generator of electricity from natural gas and geothermal resources with operations in competitive power markets. Its fleet of 76 power plants in operation and one under construction represents nearly 26,000 megawatts of generation capacity. Through wholesale power operations and its retail businesses, Calpine serves customers in 22 states, Canada and Mexico. Its clean, efficient, modern and flexible fleet uses advanced technologies to generate power in a low-carbon and environmentally responsible manner.
The company was established on the premise that a strong commitment to the environment is inextricably linked to excellence in power generation and corporate responsibility. Since its founding in 1984, Calpine has led the power industry in its unwavering commitment to environmental stewardship. In addition, its renewable geothermal plants use steam generated deep below the earth's surface to produce clean, renewable electricity.
Job Summary (includes but is not limited to the following, other duties may be assigned)
The Quantitative Analyst will be responsible for guaranteeing accurate modeling of energy commodity risks embedded into wholesale and retail physical contracts.
- Develop financial engineering solutions for volumetric risks embedded in a retail portfolio. Model typical energy derivative structures, such caps, floors, collars, swaptions, spread options etc. 20%
- Study fundamentals of the bulk transmission system (generation, load, network topology, fuel cost, imports/ exports) and use power flow/ optimization software to analyze Hub/ Zone/ Node locational marginal price components. 20%
- Follow up and update the group on proposed changes to the transmission system, and their impact on locational marginal price components. 20%
- Develop pricing and hedging strategies for retail transaction cost components based on bulk transmission system studies. 20%
- Assist the analytics group in calculating and maintaining inputs for various pricing model and methodologies. 20%
- Interpersonal Skills/Behaviors
- Focus on Performance
- Business Knowledge
- Critical Thinking Skills
- Financial Understanding
- Typically, should have degree (Masters preferred) with emphasis in Engineering, Econometrics, or other related quantitative background.
- At least two years of overall working experience.
- At least two years of experience in model development preferred.
- Programming Expertise in Matlab, SQL and VBA a must
- Strong financial engineering and statistics/ econometrics background.
- Thorough understanding of locational marginal pricing, Independent System Operator processes and procedures, two settlement markets, and wholesale power markets.
- Background in power flow analysis software such as PowerWorld, and power market optimization programs such as DAYZER.
- Sitting and standing for long periods of time
Calpine requires an individual who is newly hired into this position to be vaccinated for COVID-19 within the first 28 days of employment - if not already vaccinated prior to starting employment. If you have any concerns regarding compliance with this requirement, you will need to discuss your concerns with Calpine’s HR department after a decision has been made about whether or not to make you a conditional offer of employment. Calpine does not require applicants to discuss vaccination status prior to receipt of a conditional offer of employment and complies with all applicable laws requiring reasonable accommodation.