Quantitative Risk Analyst
Posting date : 14/02/2024
Requisition ID : 7301
Quantitative Risk Analyst
ABOUT US (GEMS)
ENGIE Global Energy Management & Sales (GEMS) provides energy supply solutions and risk management services to support its clients through their decarbonization journey, while optimizing ENGIE’s assets and contributing to value creation.
ENGIE is a global reference in low-carbon energy and services with a leading energy management business, piloted by its entity "Global Energy Management & Sales" who built its savoir-faire managing the Group’s large and diverse asset portfolio over 20+ years.
3,300 employees around the world develop our solutions, through +20 international business platforms. We cover the full energy mix: renewable and thermal power, natural gas & LNG, biomass, environmental products. Our experts provide tailor made solutions based on a wide range of savoir-faire in energy management with a strong focus on decarbonation and decentralization.
Our +120,000 clients span the entire value chain: producers, asset developers, financial players, utilities, distributors and industrials. Our global reach and strong local presence enable us to offer these diverse clients tailor-made services and respond to rapid changes in mature or emerging markets alike.
Our 4 expertise:
- Asset management
- Energy transition services
- Energy supply & global commodities
- Risk management & market access
At GEMS we encourage breakthrough results, team spirit, curiosity and innovation while preserving the right work/life balance for you.
More info on GEMS Hub (https://gems.engie.com) or LinkedIn (https://www.linkedin.com/company/engie-global-energy-management-solutions).
MAIN ACTIVITIES
Integrating the quantitative analyst team is a huge opportunity for you to work on financial modeling and IT development:
- Financial modeling: Stochastic pricing models, XVA, VaR, SVaR, CVaR,…
- IT development: C#, python, and big data (Amazon web service, Dataiku)
PRICING MODEL VALIDATION
- Be in direct contact with traders, and pricing model designers to understand derivatives, and stochastic pricing models ;
- Challenge theoretical model design and measuring model risk ;
- Develop in C# validated stochastic models ;
- Develop in C# alternative stochastic models.
MARKET AND CREDIT RISK MODEL DESIGN
- XVA, VaR, SVaR, and CVaR, model designer ;
- Improvement of stochastic models to implement in the risk engine ;
- Interact with risk team and trading team, to understand the problem, and propose some theoretical and technical solutions ;
- Develop and test model in python ;
- Work with IT team for risk engine implementation ;
- Develop “ad hoc” pricing tools and prototypes used by the FO, leveraging on the pricing library and potentially developing customized tools.
MODEL ON-GOING MONITORING
In a big data environment (python + Amazon web service), ensure model quality over the time ;
- Challenge exotic parameter of pricing model ;
- Design, implement, and automatize pricing model quality metrics ;
- Calibrate stochastic model risk under historical probability.
HARD SKILLS
- Knowledge of stochastic models applied to derivative pricing and risk modeling ;
- Knowledge of statistic (hypothesis testing, time series, regression analysis) ;
- Good object-oriented programming skills (C#, Python) in order to develop autonomously prototypes & models ;
- Knowledge of Amazon web service or other Big data environment would be appreciated ;
- Some experience in Commodity Markets would be appreciated.
SOFT SKILLS
- Analyzing complex problem, conceptual thinking, rigor ;
- Ability to explain and convey messages about complex issues ;
- Working together, ability to work in a collaborative environment.
EDUCATION / SENIORITY
- University degree (Master or PhD) in Financial Engineering, Applied Mathematics, Statistics, Physics, Engineering, Computer Sciences ;
- Confirmed experience of at least 3 years as an quantitative analyst pricing and risk model.
LANGUAGES
- Fluent in English
ABOUT ENGIE
Our group is a global reference in low-carbon energy and services. Our purpose (“raison d’être”) is to act to accelerate the transition towards a carbon-neutral world, through reduced energy consumption and more environmentally-friendly solutions, reconciling economic performance with a positive impact on people and the planet. We rely on our key businesses (gas, renewable energy, services) to offer competitive solutions to our customers. With our 170,000 employees, our customers, partners and stakeholders, we are a community of Imaginative Builders, committed every day to more harmonious progress.
If you meet these requirements, then you are the talent we are looking for. Do not waste time!
Apply by attaching your updated CV, regardless your gender.
ENGIE Global Energy Management & Sales is committed to create a gender-neutral environment that unlocks the potential of everyone and provide equal employment opportunities for all individuals.
All our positions are open to people with disabilities, please let your recruiter know if you need reasonable accommodations to be able to participate in the recruitment process, they will be happy to assist you.