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Vantage Commodities Financial Services

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Quantitative Research Analyst
New York, NY

Quantitative Research Analyst-NY, NY - Firm specializing in Retail Energy Sector Investments & Financial Services seeks Quantitative Research Analyst to formulate & dvlp math models to mng the risk exposure of a portfolio of ABS/CDS securities & generate risk reports to mgs & lenders. Define data reqs & gather & validate info, applying financial engg judgment & stat tests. Estimate portfolio's VaR (Value at Risk) by using stochastic calculus, stats & Monte Carlo simulations. Prep financial mgmt reports defining & eval problems & recommending solutions. Specify computational methods to be applied to models pricing exotic assets in energy mkts, such as RECs (Renewable Energy Certificates) & Present Value of Contracts, by modeling seasonality impact on energy prices/usages & correlations in defaults. Model Probabilities of Default, Loss Given Default & Exposure at Default to est credit quality of obligors & loss attributes of facilities. Perform validation & testing of models to ensure adequacy & reformulate models as nec. Build quant models to perform cash flow projections & scenario analysis to mng liquidity risk & credit risk for ESCOs (Energy Supply Companies). FT. Req: M.S. in Financial Engg. Mail resume to Deborah Hadley, Vantage Commodities Financial Services, LLC, 55 Fifth Ave, 13th Fl, NY, NY 10003.
Vantage Commodities Financial Services
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More About this Listing: Vantage Commodities Financial Services
Vantage Commodities Financial Services is a Accounting & Finance Job at Vantage Commodities Financial Services located in New York NY. Find other listings like Vantage Commodities Financial Services by searching Oodle for Accounting & Finance Jobs.