Market Risk Strats, Associate (m|f|x) Paris

The Market Risk Strats team within Core Strats is a quantitative modeling team focused on market risk and capital models. The team is primarily responsible for designing, implementing, and maintaining quantitative models for metrics such as Value-at-Risk, stress tests, and capital.

Core Engineering builds and operates the platforms, applications, data solutions, models, and analytics that power critical processes for the firm’s Core divisions (e.g., Risk, responsible for the risk profile of the firm’s activities; Controllers, responsible for financial control and reporting obligations; Compliance, responsible for the firm’s compliance, regulatory, and reputational risks; Corporate Treasury, responsible for the firm’s liquidity, funding, balance sheet, etc.; and Human Capital Management, responsible for attracting, developing, and managing a global workforce). A centralized engineering structure supporting The Core enables a common platform model and operating framework that promotes consistent governance and scalable solutions, leveraging cloud, AI, and machine learning to drive innovation and efficiency. The Core Engineering’s more than 2,000 engineers and strategists deliver engineering, data, analytics, and quantitative capabilities across six business units:

• Metrics & Analytics Platforms: responsible for measuring and managing the firm’s risk, capital, and liquidity for The Core functions
• The Core Strats: responsible for the development and implementation of models and other quantitative methodologies, including the accuracy and attribution of modeled metrics
• Financials & Reporting: responsible for facilitating the production of the firm’s financial statements and a wide range of reporting functions
• Non-Financial Risk & Controls: responsible for non-financial risk and control processes
• Enterprise Platforms: responsible for platforms and applications that support critical operational processes across The Core, such as payments, human resources processes, and procurement
• Shared Services: responsible for driving the adoption of a consistent engineering strategy—including data platforms, cloud, and AI enablement—as well as managing technology risk

Tasks

• Developing, refining, and maintaining robust, production-quality market risk models (such as value-at-risk and stress tests) and capital models. This involves identifying market risk factors for various products and building mathematical models to capture their economic and statistical characteristics.
• Implementing, testing, and deploying models and analytics into production. This involves prototyping models, implementing them, and designing tests to ensure the quality of implementation as well as tests to verify the models’ ongoing functionality.
• Performing pricing analyses, risk analyses, and capital impact analyses.
• Interacting with various other groups, such as risk managers, senior managers, and stakeholders, to explain the results of the models and analytics and provide quantitative advice.

Profile / Your qualification / Your personality

• Strong quantitative skills with a Ph.D. in a quantitative discipline (physics, mathematics, quantitative finance, computer science, engineering, etc.) or a bachelor’s or master’s degree in a quantitative discipline with 1–3 years of relevant work experience.
• Excellent command of mathematics, modeling, and numerical techniques.
• Good knowledge of statistics, time series analysis, econometric modeling, and probability theory.
• Strong programming skills and experience with a popular programming language (Java, C++, Python, etc.).
• Hands-on experience developing pricing and risk models.
• Excellent written, verbal, and team-oriented communication skills.

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Location

85 Avenue Marceau, FR-75116 Paris