Pinnacle Solutions, Inc. is seeking a highly-experienced Senior SAS Risk Dimensions Modeler / Analyst as an addition to our elite SAS Consulting Team for one of our Clients - a large Energy Company, located in Jupiter, FL for a 6-Month Contract-to-Hire, Full-time, all On-site with Start Date in May 2017.
NOTE! Candidate - please specify desired HOURLY rate in application questions.
PLEASE ALSO NOTE! The Client intends for the Candidate to become their employee after the 6-month contract, if Candidate and the Client are happy. Please do not apply unless you accept this model and are local or will relocate.
DESCRIPTION & RESPONSIBILITIES
The consultant will have a proven track developing SAS Risk Dimensions and Base SAS analyses in the Energy/Utilities industry, with a minimum of 5 – 10 years of experience.
QUALIFICATIONS – ESSENTIAL
- Consultant MUST have experience with SAS Risk Dimensions solution.
- Experience with SAS BookRunner is preferred.
- Apply and demonstrate expertise with efficient DATA step, SQL programming and SAS Macro programming. Be proficient in Base SAS programming (DATA step), SQL programming (i.e., use of SQL pass-through or PROC SQL), as well as the SAS Macro language for use in making code more efficient.
- Experience using SAS Visual Analytics 7.1 or higher, including:
- o Loading data in LASR Analytic Server with autoload and experience with Visual Data Builder.
- o Experience with VA Explorer and VA Designer.
- o Designing and Developing Visualizations, Reports and Dashboards.
- Creating and using SAS Stored Processes for the creation of customized content.
- Experience with Git/Stash.
- Application development experience in a team environment.
- Good written and spoken communications skills and thought-leadership skills.
- Validation of Results in current VaR approach.
- Introduce interest rate risk factors into simulations.
- Declare and register new interest rate risk factors in the SAS Risk Dimensions base environments.
- Update valuation methods to facilitate new risk factors and optimize performance as needed.
- Interest rate risk factors can be declared and registered into the base RD environment. After that, valuation/pricing methods need to be revised to incorporate those new risk factors so that pricing logic can take them into account.
- If performance is a concern, various techniques can be used to optimize the process (e.g. review and improve pricing logic, utilizing reference variables to dynamically reference different risk factors, etc.).
- Introduce full Monte Carlo simulations.
- Create a series of user defined models, fitting them to generate the perturbations of market states and incorporate them in the SAS Risk Dimensions environments.
- Define analysis specifications encompassing fitted models and project definitions in SAS RD environments to perform Model based full Monte‐Carlo simulations.
- Model based Monte-Carlo simulation is a powerful way to simulate future market states/perturbation. Different correlation structures (classic/empiric and copula) can be used capture the correlation among different risk factors.
- Add a capability to value gas transport and storage deals.
- Introduce a new SAS based optimization solution for pricing of transport deals.
- Create pricing methods for TPORT and STORAGE deals and incorporating them in existing SAS Risk Dimensions base environments.
- Provide technical guidance to support back‐end development of the Market Risk Portal, including:
- Develop back‐end processing for Historical VaR engine. This includes individual effect and cumulative effect of new deals.
- Develop back‐end processing for Covariance VaR engine. This includes individual effect and cumulative effect of new deals.
- RD historical simulation can be used to develop the historical VaR engine. Depending on which type of individual/cumulative effect it refers to, either RD built-in marginal/incremental. VaR calculation or custom (post-VaR) calculation can be performed to achieve this goal.
- For covariance VaR, no matter if refers to covariance simulation or delta-normal VaR, RD has that capability readily to handle it. As to individual/cumulative effect on new deals, the same type of analysis stated above can be performed.
- Implement code changes/improvements as need arises and maintain the application.
- Ensure the creation of suitable documentation on programs and processes through. collaboration with a NEER business analyst and/or directly.
LOCATION(S): Jupiter, FL
WORK TYPE: 6-Month Contract-to-Hire
WORK MODEL: Full-time, M-F, 40 hours per week, all On-site
Pinnacle Solutions is a trusted SAS Alliance & Resell Partner, Amazon Web Services Partner, and creator of The Backpack Solution, an all-in-one, unprecedented, and must-have specialized toolkit solving all our client’s data demands. To attract the most sought-after, elite SAS technology professionals, we specialize in flexible career models with above market compensation. Our specialists serve as a member of our internal development team, or they may provide on-site consulting expertise for our key Client positions. Join our talented and elite SAS Consulting Team now by applying to this job posting or contact us via email at: firstname.lastname@example.org and learn more about us at: www.thepinnaclesolutions.com.