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Senior Quantitative Risk Analyst (Hybrid)

Princeton, New Jersey
Job Type
6 Sep 2022
At NRG, were bringing the power of energy to people and organizations by putting customers at the center of everything we do. We generate electricity and provide energy solutions and natural gas to millions of customers through our diverse portfolio of retail brands. A Fortune 500 company, operating in the United States and Canada, NRG delivers innovative solutions while advocating for competitive energy markets and customer choice, working towards a sustainable energy future. More information is available at . Connect with NRG on Facebook, LinkedIn and follow us on

Job Summary:

Senior Quantitative Analyst will be responsible for developing and enhancing risk and valuation models for the energy generation and retail supply portfolio of the leading customer-focused integrated energy and services provider.

Essential Duties/Responsibilities:

Specific duties include: (1) developing and enhancing market and credit risk models for energy generation portfolio within dynamic and innovative environment; (2) applying strong analytical, quantitative, IT, and programming skills, including R, MATLAB and Python, to develop market, credit, and operational risk models; (3) performing quantitative analysis of market, credit and operational risk using stochastic calculus, Monte Carlo simulations, and econometrics.

Working Conditions:
  • Open office environment.
  • Some overtime required as special projects arise.
  • Hybrid work schedule; a combination of working remotely from home and 3-4 days a week in the office
Minimum Requirements:
  • B.S. degree in Mathematics, Physics, Econometrics, Statistics, Computer Science
  • 3-5 years of quantitative analyst experience with a financial or energy trading company.
  • Expert level proficiency in Python, R, and MATLAB programming languages.
  • Thorough understanding of Probability, Statistics, Time Series Analysis, and Stochastic Calculus
  • Excellent communication skills
Preferred Qualifications:
  • Masters Degree in Quantitative Finance, Econometrics or Statistics, Computer Science (in-process or completed)
  • Quantitative analytics experience of using Stochastic Calculus, Monte-Carlo Simulations and Econometrics, Optimization Techniques
  • Advanced Stochastic Calculus techniques required to solve Stochastic Differential Equations to mathematically describe Forward and Spot pricing processes in stochastic terms for further simulations of alternative states of the energy markets using Monte- Carlo Simulation techniques.
  • Optimizations Techniques including Linear programming to be able to calibrate Monte Carlo Simulation parameters to energy market quotes as well as Mixed Integer Linear Programming required to solve Physical and Virtual Plant Dispatch optimization to maximize economic value of the plant for a dispatch period given a set of commodity prices and physical/virtual constraints
  • Expert level proficiency in Python, R, Matlab, SAS programming languages.
  • Be able to use any of the programming languages from above to implement Stochastic Calculus, Monte-Carlo Simulations, Econometric models, and Optimization algorithm to create scripts and applications to calculate and present distributions of outcomes of future Generation, Gross and Net Margin, Fuel Consumption, number of starts, emissions, etc.
  • Strong communication skills
Additional Knowledge, Skills and Abilities:
  • Experience with derivative pricing (Option, Forwards, Swaps, Weather Derivatives, Tolls, Physical and Virtual Plants, Load Following) and energy risk management (VaR, GMaR, PFE)
  • Understanding of commodity transaction types and market structures (Forward vs. Spot markets), experience within both the power and fuels sectors
  • Experience with trading and risk management systems
  • Demonstrated ability to understand and communicate complex portfolios and transactions
Physical Requirements:

Lifting 25lb boxes

NRG Energy is committed to a drug and alcohol free workplace. To the extent permitted by law and any applicable collective bargaining agreement, employees are subject to periodic random drug testing, and post-accident and reasonable suspicion drug and alcohol testing. EOE AA M/F/Protected Veteran Status/Disability

EEO is the Law Poster (The poster can be found at )

Level, Title and/or Salary may be adjusted based on the applicant's experience or skills.

Official description on file with Human Resources

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  • Job Reference: 705446796-2
  • Date Posted: 6 September 2022
  • Recruiter: NRG Energy, Inc.
  • Location: Princeton, New Jersey
  • Salary: On Application
  • Sector: Banking & Financial Services
  • Job Type: Permanent