Quantitative Risk Analyst: Derivatives Pricing & Models

ENGIE - International Supply & Energy Management; Ukkel; Sur place; EUR 90 000 - 130 000; Plein temps

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.

Connaissances

Stochastic models

Statistics

C#

Python

Commodity markets

Big Data awareness

Formation

Master’s degree or PhD in quantitative discipline

Outils

AWS

Dataiku

Description 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