Risk - Quantitative Engineer - Associate (m|f|x) Paris

The Market Risk Strats team within Risk Engineering 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.

Risk Engineering is a multidisciplinary group of quantitative experts tasked with modeling, producing, reviewing, interpreting, explaining, and communicating risk and capital metrics and analytics used to ensure the firm adheres to its risk appetite and maintains the appropriate amount of risk capital. Risk Engineering provides risk and capital metrics, analytics, and insights to the Chief Risk Officer, senior management, regulators, and other firm stakeholders.

Tasks

Responsibilities may include:

• 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.
• Developing robust, systematic, and efficient workflows, processes, and procedures for the production of risk analytics related to financial and non-financial risk, risk capital, and regulatory reporting.
• Interact 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

Preferred qualifications for eligible candidates include:

• 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 3–5 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 models and risk models.
• Excellent written, verbal, and team-oriented communication skills.

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Location

85 Avenue Marceau, FR-75116 Paris