Sr. Specialist, Market Risk

Role Summary

Senior Specialist, Market Risk 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 nonlinear exposures.

• 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.
• 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.
• Perform periodic retrospective analysis to assess the effectiveness of authorized hedging strategies and evaluate whether intended risk management outcomes are being achieved.
• 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.
• Execute an ongoing process to review portfolio exposures against approved market risk limits, investigate and address breaches, and produce exception reporting.
• Develop and validate pricing and risk methodologies for new, complex, or illiquid instruments (including mark‑to‑model approaches), and generation and storage assets; provide ongoing governance and independent validation of valuation and risk models, inputs, and assumptions.

• Post‑secondary degree in Finance, Economics, Mathematics, Engineering, or a related field.
• Advanced degree (Master’s, PhD) or professional designation (CFA, FRM, PRM) is an asset.

• 5+ years in market risk, quantitative analysis, or related middle office roles within trading, commodities, or financial services.
• Hands‑on experience with risk quantification models (VaR), stress testing, and back‑testing.
• Exposure to valuation of complex and structured transactions, options modeling, and risk limit monitoring.
• Experience developing and validating pricing and risk models.
• Experience analyzing market risk, valuation, and trading strategies in power, natural gas, and/or environmental markets (e.g., WECC, PJM, ERCOT, AESO).
• Familiarity with risk management of generation and storage assets.

• Proficiency with risk management systems and analytical tools (ETRM, Excel, Python, R, MATLAB).
• Advanced knowledge of market risk metrics (VaR, stress testing, back testing).
• Strong quantitative modeling skills, including options valuation, price curve modeling, and mark‑to‑model techniques.
• Ability to develop, maintain, and validate risk and valuation models.
• Data analysis and risk reporting (preparing risk reports, exception reports).
• Familiarity with power market data, price curves, and valuation models specific to regional markets (e.g., WECC).
• Ability to interpret and model market‑specific risk metrics and exposures.
• Skilled in simulating dispatch, operational constraints, and market exposures for generation and storage assets, and asset‑related contracts.

Office environment.

Location:

Calgary, AB. Minimal travel required.

Capital Power is committed to providing a fair and transparent hiring process. We recognize and embrace the value of diversity and hire employees with the appropriate skills, experience, and knowledge for each position.