DESCRIPTION :
As a Quantitative Risk Analyst, you will be part of a team that sits at the intersection of financial modeling, risk management, and software development. Your responsibilities will include validating pricing models for derivatives and designing and continuously improving risk models for market, credit, and liquidity risks.
Your daily tasks will encompass three key areas:
* Advanced Financial Modeling: You will cultivate a critical mindset and challenge stochastic models through close interaction with traders and pricing model designers.
* Technical Development: You will implement and test models and their alternatives within a robust C# and Python codebase, integrated into a Big Data environment (AWS, Dataiku).
* Cross-Functional Collaboration: You will work closely with Risk, IT, and Front Office teams to transform complex problems into practical solutions, whether through ad hoc pricing tools, back-testing prototypes, or automated model monitoring systems.
Additionally, you will ensure the long-term robustness of models by calibrating reserves under historical probability, implementing performance metrics, and regularly reviewing model parameters. This role combines scientific rigor with technical creativity and places you at the heart of the risk management team, focusing on energy commodity markets., * Perform model validation of pricing models for complex derivatives (e.g., exotic basket options, swing options, storage, renewables, …).
* Implement validated stochastic models in C# within the risk methodologies pricing library.
* Build and test alternative models to benchmark and assess the robustness of valuation methods.
* Participate in internal model committees by providing theoretical and numerical justifications.
* Design risk metrics for market risks (VaR, SVaR, quantitative stress tests), implement prototypes and present method specifications for future IS integration.
* Design risk metrics for credit risks (PFE, CVA, DVA), implement prototypes and present method specifications for future IS integration.
* Ensure full documentation of models and methods for traceability, auditability, and regulatory compliance.
Code d'emploi : Spécialiste du Risque (h/f)
Domaine professionnel actuel : Cadres de l’Ingénierie
Niveau de formation : Bac+5
Temps partiel / Temps plein : Plein temps
Type de contrat : Contrat à durée indéterminée (CDI)
Compétences : Amazon Web Services, Big Data, C Sharp (Langage de Programmation), Moniteur Système, Test d'Hypothèse Statistique, Python (Langage de Programmation), Développement Logiciel Orienté Objet, Conception et Développement de Logiciel, Validation du Modèle, Technologies Informatiques, KSRNNF3HNIEQ6SAEAWHW, Anglais, Capacité d'Analyse, Sens de la Communication, Créativité, Esprit d'Équipe, Mathématiques Appliquées, Marché des Matières Premières, Conformité Réglementaire, Produits Dérivés, Finance Mathématique, Gestion de la Performance, Secteur Financier, Ingénierie Financière, Modélisation Financière, Traçabilité, Front Office, Énergies Renouvelables, Approche Pluridisciplinaire, Sciences Physiques, Stratégie Tarifaire, Réalisation de Prototypes, Analyse de Risques, Mesure du Risque, Trading, Etudes et Statistiques, Test de Résistance au Stress, Changement Technologique, Séries Chronologiques, KS6IRMAHDI8F7DJI1YAD, Compétences de Modélisation, Risques de Crédit, Gestion de L'énergie, Gestion des Risques
Type d'annonceur : Employeur direct