Sr. Valuation Analyst

Essential Responsibilities

• Develop, implement and standardize pricing and valuation models to estimate risk, position and value or real energy options.
• Review and quickly understand commercial terms of standard and structured energy commodity contracts.
• Identify and validate pricing visible parameters and estimate illiquid pricing parameters.
• Leverage existing quantitative skills, knowledge of energy commodity markets and structured products to solve quantitative problems.
• Develop and implement portfolio market risk distribution estimation methods.
• Benchmark, test and document transaction pricing models and system valuation models.
• Ensure model development can be leveraged across the trade floor by commercial and control personnel.
• Cook up with Risk Operations/other groups to implement system valuation models and methods in a robust, accurate, and timely manner.

Minimum Requirements

• Master's Degree in a numerate discipline, such as computer science, mathematics, engineering, physics or similar quantitative field.
• Minimum 2 years of deal structuring, risk management, and/or coding experience.
• Understanding of pricing and valuation of complex, structured products in the energy commodity markets.
• Demonstrated ability to use statistical methods to model and explain energy market and contract risk characteristics.
• Knowledge of standard quantitative/computational finance methods and ability to apply them to pricing energy commodity market real options and structured products.
• Experience with parameter estimation, both using large data sets as well as when faced with sparse and illiquid market data.
• Programming skills for data analytics and model implementation, including Python, VBA.
• Knowledge of Trading Risk Systems; Lacima, ETRM, Triplepoint CXL, SAS, Morningstar Curve Manager and IBM ESB preferred.
• Ability to communicate effectively with demanding customers on a fast-paced energy trade floor.