Quantitative Risk Analyst

Job description

Who we are:

ENGIE is a global energy company, a leading provider of electricity, natural gas, and energy services. With 153,090 employees in more than 70 countries worldwide, ENGIE achieved revenue of €66.6 billion in 2016. ENGIE is committed to being a leader in the energy transition.

We are looking for talented and motivated people to create the future of energy. Join a rewarding and flexible work environment that encourages innovation and creativity, and help us meet the energy challenges of today and tomorrow.

Global Energy Management (GEM) is one of ENGIE's Business Units. We deliver services in supply and logistics management, asset management, risk management, market access management, while contributing to the market understanding, design and efficiency and developing market solutions to accelerate the energy transition.

GEM manages one of the largest and most diversified energy portfolios in Europe, including electricity, natural gas, bulk commodities and environmental products.

With 5 trading platforms and activities in more than 50 countries, GEM has an extended geographical coverage in Europe, Asia-Pacific and in the US. It employs 1,300 people around the world.

Organization:

Within the Risk department of GEM, Risk Methodologies is in charge of three main missions:

- Validation of the pricing models that are used by GEM to evaluate and actively manage its trading positions in derivatives products, some of them requiring advanced mathematical methods (exotic options).
- Validation of statistical methods used to mark exotic parameters.
- Definition and calibration of indicators to monitor the trading exposure to price moves (market risk),
- Definition and calibration of indicators to monitor the credit risk of trading activities (default likelihood of our counterparties on the market, and subsequent potential loss).

Risk Methodologies acts as a quantitative support to the Risk department for the sound and appropriate usage of the valuation tools and risk indicators. The team proactively proposes recommendations and evolutions when necessary. These missions are materialized by the production of a specific documentation, the team being a key SPOC for internal and external stakeholders on quantitative topics in GEM: integration of new products, regulatory requirements, etc.

Context:

You will be part of a pool of 7 quantitative risk analysts in Paris, in the Risk Methodologies team organized in flat management and reporting to the Head of Market Risk.

Main Activities:

As a Quantitative Risk Analyst in Risk Methodologies team, you are mainly focused on market risk, more specifically:

·  Model validation including:
·  theoretical assessment of the proposal made by FO Quants,
·  independent implementation of the model/pricer under validation in C# pricing tool developed within Risk Methodology team to assess implement risk,
·  model risk assessment to challenge the FO proposal,
·  and a formal audit report.
·  Requests for new product approval or one-shot approvals.
·  Model reserve definition.
·  When necessary, the analyst will proactively formulate recommendations and will consider all the actions that are necessary to accompany the new model in the official system (specific provisions, adaptation of risk indicators etc.).

Work location:

Courbevoie, ENGIE T1

Travels:

·  On occasion (Brussels)

Education and professional background:

·  you have a Bac+5 (Fr) or Master (Be) with a specialization in Applied Mathematics and/or Financial Engineering
·  additional degrees such as top engineering schools or PhD would be a plus
·  first experience in a pricing model development or validation role (at least 3-4 years) in the commodity or banking sector, knowledge of energy markets being a plus. Exceptional more junior candidates will be considered based on proven motivation and skills.

Hard skills:

·  Strong technical skills in pricing models, in a development or validation role.
·  Familiar with pricing techniques regarding vanilla and exotic financial products.
·  you are fluent in Excel and familiar with object oriented programming as well as data oriented programming using languages such as C# and Python and tools for version control such as Git.

Soft skills:

·  Rigor and strong documentation skills
·  Analyzing complex problems and conceptual thinking
·  ability to adapt your talks to various stakeholders (in particular technical and non-technical contacts)
·  Pressure resistance
·  Team player with good social skills, quick judgment and the ability to work in a collaborative environment (peer review, all-round relationship,…)

Languages:

·  you are fluent in English, written and spoken (with the ability to write rigorous technical documentation)

Additional Information
·  Posting Date: Jan 27, 2020