Senior Market Risk Specialist

Minimum Pay Rate: $119,641.60 

Maximum Pay Rate: $158,433.60 

Civil Service Status: Civil Service 

Posting Type: Open 

 

This posting may close at any time without notice after October 29th, 2024 so interested applicants are encouraged to apply early. This posting intends to fill one (1) regular full-time position, and establish an eligibility list which may be used to fill future vacancies over the next two (2) years. 

 

The Commodity Risk team is thrilled to announce an exciting opportunity for a Senior Market Risk Specialist. This pivotal role will be at the forefront of a newly established stochastic forecasting initiative within commodity risk, offering a unique chance to influence the future direction and strategy at SMUD.

 

In this dynamic position, you will be responsible for building and modeling in Python, R, and SQL, as well as working with industry models for stochastic analysis. Collaborating closely with the trading and settlements groups, you will ensure accurate and timely execution of trades while developing and managing budgets, forecasting market trends, and conducting comprehensive risk assessments.

 

As a Senior Market Risk Specialist your expertise will directly contribute to SMUD’s ambitious goal of achieving zero carbon emissions by 2030. By minimizing commodity risk, you will play a crucial role in keeping costs low for the community, ensuring both environmental and economic sustainability.

 

Join us and become part of a team dedicated to driving innovation and excellence in commodity risk management. Your contributions will shape the future of SMUD and the broader energy landscape, making a tangible impact on our community and environment.

 

Purpose

To perform portfolio risk assessment by providing technical analysis and review of physical and financial power purchase options and hedges and alternative power production, correlations between energy prices and other variables, financial and commodity market futures prices and basis differentials and profitable opportunities in the medium-term wholesale energy market to ascertain the trade-off between profitability and cost stability, provide practical and feasible risk-neutral, cost effective energy trading solutions, and support SMUDs ability to manage its energy portfolio and financial risk.

Nature and Scope

Serves as a technical or functional expert or consultant providing expertise and/or direction in one or more areas of a professional discipline and assists in resolving complex problems and working on complex projects.  May assist in developing lower level personnel.

Duties and Responsibilities

• Synthesizes energy risk management and portfolio optimization theories and techniques with market results by evaluating the risk characteristics and market value of physical and financial power and gas purchases and sales to SMUD; and developing the risk/profit trade-off associated with changes in the operation of SMUD owned and/or controlled power plants. To assist in providing market and risk evaluation of physical and financial options and hedges.
• Estimates the risk premiums embedded in retail energy sales contracts to support SMUD rate design efforts. To assist in quantifying the premium value to assign to risk in designing rates for retail energy sales contracts.
• Coordinates data capture with various SMUD units and develops and maintains a database of future, current and historical bulk power and gas prices and data related to other variables having an impact on bulk power and gas prices. To ensure the capture and availability of historical, current and future bulk power and gas rates and variables for modeling of pricing and SMUD rate design.
• Model retail contracts and evaluates their impact on SMUDs overall risk exposure. To ensure assessment of retail contract impact on SMUD risk exposure.
• Applies statistical and mathematical techniques to market data to analyze pricing trends and volatility. To ensure analysis and extrapolation of market prices and volatility to model SMUD risk.
• Performs the technical analysis needed to estimate the risk characteristics and value to SMUD of alternative power supply and retail contract options. To ensure that physical and financial options and hedges are examined for value to SMUD risk.
• Develops and provides effective reports and presentations for management of findings of analyses and evaluations of various market, portfolio and economic factors to support management decision making and formulation of risk management policies. To ensure timely, accurate management reporting of market risk assessment findings to support SMUD decision making and policy formulation.
• Maintains technical skills by keeping current in energy and fina