Quantitative Risk Analyst: Derivatives Pricing & Models

ENGIE - International Supply & Energy Management

Ukkel

Sur place

EUR 90 000 - 130 000

Plein temps

14 jours+

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Résumé du poste

ENGIE S&EM is seeking a Quantitative Risk Analyst to join a cross-functional team focused on validation of pricing models for derivatives and calibration of risk models for market, credit, and liquidity risks. The role emphasizes rigorous modeling, software development in C# and Python, and a data-driven approach within a Big Data environment (AWS/Dataiku).

You will collaborate with Risk, IT and Front Office teams to build robust tooling and automated monitoring, while ensuring comprehensive

Qualifications

Master’s degree or PhD in a quantitative field with strong modeling background.
4–5 years of hands-on work as a quantitative analyst in pricing/risk models.
Experience transforming complex models into practical risk tools.

Responsabilités

Validate pricing models for complex derivatives and risk models.
Implement and test stochastic models in C# within the risk methodologies library.
Develop alternative models for benchmarking valuation methods.
Collaborate with Risk, IT and Front Office to deliver ad hoc tools and monitoring prototypes.
Document models for traceability, audit, and regulatory compliance.
Calibrate reserves and design risk metrics for market and credit risks.