- Calgary, Alberta, Canada
- Hybrid
- Full-time · Senior
- 5+ years
The Senior Specialist, Market Risk role, within Capital Power’s middle office, provides independent analysis and oversight of market risk exposures across power, natural gas, and environmental portfolios. The role evaluates trading and hedging strategies, governs price curves and valuation methodologies, and develops and executes market risk analytics including VaR, stress testing, scenario analysis, and assessment of non‑linear exposures.
Responsibilities
- Strategy analysis: Prospectively analyze and validate trading and hedging strategies proposed by Front Office to ensure consistency with approved risk management objectives and the firm’s risk profile.
- Valuation and curve oversight: Ensure appropriate price curves and valuation methodologies are in place for all new deals, strategies, and structured transactions; validate valuation and exposures of proposed structured transactions and prepare supporting risk analysis as required.
- Hedge effectiveness analysis: Perform periodic retrospective analysis to assess the effectiveness of authorized hedging strategies and evaluate whether intended risk management outcomes are being achieved.
- Risk quantification and analytics: Develop, maintain, and execute market risk analytics, including Value‑at‑Risk, stress testing, back‑testing, scenario analysis, sensitivities, and assessment of non‑linear portfolio exposures.
- Risk limit monitoring: Execute an ongoing process to review portfolio exposures against approved market risk limits, investigate and escalate breaches, and produce exception reporting.