Quantitative Risk Analyst

Description de l'offre

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.

Within the Risk department of GEM, Risk Methodologies is in charge of four 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.

 

The quantitative analyst will be in charge of:

·  The validation of the valuation models that are submitted by FO. This task is materialized by a formal audit report that will challenge the proposed approach, both in its theoretical relevance and in its implementation. 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 e.g.
·  The definitions and evolutions of market risk indicators (Value-at-Risk, stress scenarios, provisions, etc.). This role encompasses the recurrent recalibration of the indicators and the support to the integration of new markets.
·  The quantitative support to the Trading and Risk departments for new or non-standard businesses, with a strong involvement in the quantitative aspects of the New Product Approvals process and Origination Committees.

You will be part of a pool of 6 quantitative risk analysts in Paris, in the Global Risk Analytics team that also onboards 6 market risk analysts in charge of transversal risk monitoring and reportings (Paris/Brussels).

Internal interfaces include:

·  FO: quantitative analysts, trading desks
·  IT: business analysts, developer, support teams
·  Risk: Market Risk analysts, Strategic Business Analysis, Operational and Transverval Risk  

External Interface include:

·  Regulatory bodies (ACPR, external auditors)

This position reports to the Model Validation team leader and to the head of the team.

QUALIFICATIONS

·  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 similar role (at least 2 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 competencies.
·  you have strong technical skills in pricing models, in a development or validation role.
·  you are well versed in data analysis, with both theoretical (statistics and econometric models) and practical focuses (database, SQL)
·  analyzing complex problems and conceptual thinking
·  practical thinking, in particular to propose pragmatic ways to get out of theoretical or operational constraints
·  proactivity to manage your missions in autonomy
·  ability to adapt your talks to various stakeholders (in particular technical and non technical contacts
·  you are fluent in English, written and spoken (with the ability to write rigorous technical documentation)
·  you are fluent in Excel and familiar with object oriented as well as data oriented programming using languages such as  Matlab/R/Python and/or C#.

 Occasional Travel to Brussels will be required

Additional Information
·  Posting Date: Apr 19, 2019