Quantitative Risk Analyst – Risk Methodologies & Pricing Models

Job title:

Quantitative Risk Analyst – Risk Methodologies & Pricing Models

Company:

Engie

Job description

ENGIE Global Energy Management & Sales (GEMS) provides energy supply solutions and risk management services to support its clients through their decarbonization journey, while optimizing ENGIE’s assets and contributing to value creation.ENGIE is a global reference in low-carbon energy and services with a leading energy management business, piloted by its entity “Global Energy Management & Sales” who built its savoir-faire managing the Group’s large and diverse asset portfolio over 20+ years.3,300 employees around the world develop our solutions, through +20 international business platforms. We cover the full energy mix: renewable and thermal power, natural gas & LNG, biomass, environmental products. Our experts provide tailor made solutions based on a wide range of savoir-faire in energy management with a strong focus on decarbonation and decentralization.Our +120,000 clients span the entire value chain: producers, asset developers, financial players, utilities, distributors and industrials. Our global reach and strong local presence enable us to offer these diverse clients tailor-made services and respond to rapid changes in mature or emerging markets alike.Our 4 expertise:

• Asset management
• Energy transition services
• Energy supply & global commodities
• Risk management & market access

At GEMS we encourage breakthrough results, team spirit, curiosity and innovation while preserving the right work/life balance for you.More info on ( )or ( ).MISSIONS :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.Key responsibilities :

• 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.

PROFILE :You hold a Master’s degree or PhD in a quantitative discipline such as Financial Engineering, Applied Mathematics, Statistics, Physics, Computer Science, or a related field. Your academic background has equipped you with a solid foundation in modeling, analytics, and problem-solving. Beyond your studies, you bring at least three years of hands-on experience as a quantitative analyst, during which you’ve developed, implemented, and challenged pricing and risk models in real-world financial environments. You are now looking to take on a new challenge where your expertise can make a real impact – bridging cutting-edge theory with practical, high-stakes applications in trading and risk management.Hard Skills :

• Solid knowledge of stochastic models applied to derivative pricing and risk modeling.
• Strong background in statistics: hypothesis testing, time series analysis, regression models.
• Proficient in object-oriented programming (C#, Python), with the ability to independently develop models and prototypes.
• Familiarity with Big Data technologies, particularly Amazon Web Services (AWS) or Dataiku, is a plus.
• Previous experience in Commodity Markets is a strong advantage.

Soft Skills :

• Strong analytical skills, conceptual thinking, and scientific rigor.
• Ability to communicate complex concepts clearly and effectively to both technical and non-technical stakeholders.
• Team spirit and ability to work collaboratively in a fast-paced and multidisciplinary environment.

LANGUAGES :

• Fluent in English

ABOUT ENGIEOur group is a global reference in low-carbon energy and services. Our purpose (“raison d’être”) is to act to accelerate the transition towards a carbon-neutral world, through reduced energy consumption and more environmentally-friendly solutions, reconciling economic performance with a positive impact on people and the planet. We rely on our key businesses (gas, renewable energy, services) to offer competitive solutions to our customers. With our 170,000 employees, our customers, partners and stakeholders, we are a community of Imaginative Builders, committed every day to more harmonious progress.If you meet these requirements, then you are the talent we are looking for. Do not waste time!Apply by attaching your updated CV, regardless your gender.ENGIE Global Energy Management & Sales is committed to create a gender-neutral environment that unlocks the potential of everyone and provide equal employment opportunities for all individuals.All our positions are open to people with disabilities, please let your recruiter know if you need reasonable accommodations to be able to participate in the recruitment process, they will be happy to assist you.Business Unit: GEMSDivision: GEMS – EC RISKLegal Entity: ENGIE Global Markets S.A.S.Professional Experience: Skilled ( >3 experienceEducation Level: Master’s DegreeNos valeursL’inclusion et la diversité sont au cœur de notre politique de ressources humaines. Nous assurons l’égalité des chances entre tous les candidats et sommes engagés à créer l’environnement de travail le plus accessible possible.

Expected salary

Location

Courbevoie, Hauts-de-Seine

Job date

Fri, 30 May 2025 06:49:47 GMT

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