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Quantitative Risk Analyst

Il y a 2 mois

Paris, Île-de-France Arcelormittal Treasury Temps plein
About the Role

We are seeking a highly skilled Quantitative Risk Analyst to join our Financial Risk Management team at ArcelorMittal Treasury. As a key member of our team, you will play a pivotal role in developing advanced quantitative models, optimizing risk management processes, and enhancing risk assessment across various asset classes.

Key Responsibilities
  • Traders & MO Collaboration: Work closely with traders and MO to create appropriate risk tools to associate risk measures (VaR, ES, XVaR etc) to trading/hedging ideas and communicate them to top management for implementation decision and/or limit monitoring
  • Model Development and Refinement: Lead the development and refinement of complex financial models for risk management and simulation across various asset classes and improve all type of VaR estimation methods (historical, monte-carlo, cornish-fisher etc)
  • Cross-Asset Risk Calculation: Develop models to calculate risk measures and perform stress tests on a diversified portfolio comprising miscellaneous underlying assets and products and identify the risk associated to all the different layers (Asset Class/Underlying/Individual Trade)
  • Risk System Development: Design and implement our risk system by using object-oriented program such as Python, C++ or Java and create PowerBI reports for data illustration
  • Quantitative Daily Activities: Actively participate in treasury tasks (reports, documentation etc) and other quantitative topics as they emerge, collaborating with various teams and addressing diverse subjects such as tax, accounting, front office, and financing
  • Stress Tests: Perform stress tests and calculate sensitivity matrices for various risk factors to evaluate the potential impact of extreme market conditions on the company's financial health
  • Business Understanding: Understand the global context of steel production to define and derive appropriate trading and hedging strategies linking financial and physical flows
  • Technical Environment Enhancement: Collaborate with data scientists, quantitative researcher, traders, and IT professionals to improve and enhance the technical environment, incorporating new technologies
  • Mentorship and Guidance: Mentor and guide junior analysts, fostering a culture of continuous learning and improvement
  • Database Enhancement and Documentation: Improve our databases' data and schema within the Databricks environment, develop and maintain scripts on Git, and ensure comprehensive documentation of all processes and changes
  • Continuous Monitoring: Continuously monitor the performance of the risk models, making adjustments as necessary to adapt to changing market conditions and maintain sustainability
Requirements
  • Education: Master's degree required with a strong academic background in financial markets or quantitative fields with a financial market orientation (Financial Engineering, Machine Learning, Computer Science, Mathematics with an understanding of stochastic processes)
  • Experience: Previous experience in a Hedge Fund, Bank, or Corporate quantitative front office team is advantageous
  • Market Knowledge: Understanding of market drivers and fundamentals of financial markets
  • Model knowledge: Knowledge of derivative products and developing simulation tools (Monte-Carlo and other numerical simulation models, statistical analysis tools such as ACP, financial pricing models, etc.)
  • Financial Tools Familiarity: Familiarity with Bloomberg and Refinitiv is a plus
  • Language Skills: Fully proficient in English, both verbal and written. Fluency in French is a plus
  • Technical Skills: Strong knowledge of Python, SQL, Databricks, PowerBI, M, DAX, PySpark, VBA, Git other data analysis tools (C++ would be a plus)
What We Offer
  • An opportunity to work within a leading global organization with a commitment to innovation and sustainability
  • Free access to an on-site gym and shower facilities throughout the day
  • A dynamic and collaborative work environment with a focus on professional growth and development