Sr. (Lead) Quantitative Analyst I (II)

PJM Interconnection•Audubon, PA

9d•Remote

About The Position

The Sr. (Lead) Quantitative Analyst is responsible for overseeing PJM's models for credit calculations and to support trade surveillance. Working under the direction of the Manager, Surveillance Simulation, the responsibilities include leading the analytical team to develop modeling to capture the risks of market participant activity and identifying gaps in the current PJM markets where bad actors can take an unfair advantage of market rules. The results of these tasks are then used to take the appropriate steps to make changes in PJM's simulation models, margin market participants appropriately and make changes governing documents to close any perceived loopholes and ensure efficient markets.

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
SQL, Matlab, SAS, Alteryx, Statistical & Analysis Software

Nice To Haves

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)

Responsibilities

Lead quantitative analytical team for simulation modeling
Provide quantitative analytical support to identify simulation model enhancements.
Provide quantitative analytical support to backtest simulation models.
Maintain a working historical simulation model that will calculate margin requirement for FTR products.
Conduct ad hoc analysis pertaining to margining of FTR products.
Develop tools to analyze historical simulation model results.
Develop risk controls and reporting to management.
Interface with stakeholders, management, peers and others and provide expertise in the area of risk modeling.
Analyze PJM’s governing documents and design new PJM market rules and make changes to existing rules.
Develop dashboard reporting and extract, transform, load (ETL) procedures.
Interact regularly with leadership and cross functional teams to understand strategic changes.
Demonstrated ability to work independently and to train, guide or assist others to perform complex assignments.
Demonstrate the behaviors and competencies that create a risk management mindset in the organization.

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, which has named PJM one of the best adoption-friendly energy and utility companies in America.