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Quantitative Risk Specialist
Il y a 3 mois
Requisition ID: 7301
Location: COURBEVOIE, FR, 92400
ENGIE Global Energy Management & Sales (GEMS) is a leader in providing energy supply solutions and risk management services. Our mission is to assist clients in their decarbonization efforts while optimizing ENGIE's diverse asset portfolio, which has been developed over more than two decades.
With a workforce of 3,300 professionals worldwide, we deliver innovative solutions through over 20 international business platforms. Our expertise encompasses the entire energy spectrum, including renewable and thermal power, natural gas & LNG, biomass, and environmental products. We pride ourselves on offering customized solutions tailored to the unique needs of our clients, focusing on decarbonization and decentralization.
Our clientele includes over 120,000 entities across the value chain, such as producers, asset developers, financial institutions, utilities, distributors, and industrials. Our global presence, combined with a strong local footprint, allows us to provide tailored services and respond effectively to dynamic market conditions.
CORE RESPONSIBILITIES
Financial Modeling and IT DevelopmentAs part of the quantitative analyst team, you will engage in:
- Developing financial models, including stochastic pricing models, XVA, VaR, SVaR, and CVaR.
- Implementing IT solutions using C#, Python, and big data technologies (Amazon Web Services, Dataiku).
- Collaborating with traders and model designers to gain insights into derivatives and stochastic pricing models.
- Evaluating theoretical model designs and assessing model risk.
- Creating validated stochastic models in C#.
- Designing alternative stochastic models in C#.
- Designing models for XVA, VaR, SVaR, and CVaR.
- Enhancing stochastic models for integration into the risk engine.
- Working closely with risk and trading teams to identify challenges and propose theoretical and technical solutions.
- Developing and testing models in Python.
- Collaborating with IT for risk engine implementation.
- Creating customized pricing tools and prototypes for front office use, leveraging the pricing library.
In a big data environment (Python + Amazon Web Services), you will ensure the continuous quality of models by:
- Challenging exotic parameters of pricing models.
- Designing, implementing, and automating pricing model quality metrics.
- Calibrating stochastic model risk based on historical probabilities.
- Strong understanding of stochastic models applied to derivative pricing and risk assessment.
- Proficiency in statistics, including hypothesis testing, time series analysis, and regression analysis.
- Solid object-oriented programming skills in C# and Python for autonomous model development.
- Familiarity with Amazon Web Services or other big data environments is a plus.
- Experience in commodity markets is advantageous.
- Analytical thinking and problem-solving abilities.
- Effective communication skills for conveying complex concepts.
- Team-oriented mindset with a collaborative approach.
- Master's or PhD degree in Financial Engineering, Applied Mathematics, Statistics, Physics, Engineering, or Computer Science.
- A minimum of 3 years of confirmed experience as a quantitative analyst in pricing and risk modeling.
- Fluency in English is essential.
ENGIE is a global leader in low-carbon energy and services, committed to accelerating the transition to a carbon-neutral world. Our purpose is to reduce energy consumption and promote environmentally friendly solutions, aligning economic performance with a positive impact on society and the planet. With 170,000 employees, we are a community of Imaginative Builders dedicated to fostering harmonious progress.
ENGIE Global Energy Management & Sales is committed to creating a gender-neutral environment that unlocks the potential of everyone and provides equal employment opportunities for all individuals.
All our positions are open to people with disabilities; please inform your recruiter if you require reasonable accommodations to participate in the recruitment process.
Business Unit: GEMS
Division: GEMS - EC RISK
Legal Entity: ENGIE Global Markets S.A.S.
Contract Type: Permanent
Job Type: Full-Time
Professional Experience: Skilled (3-15 years)
Education Level: Master's Degree
