RISK MANAGEMENT CONSULTANT (SENIOR)

Job description

Bonjour, Pour un client prestigieux dans le domaine de l'énergie je suis à la recherche d'un Risk Management Consultant. Prestigieuse entreprise dans le domaine de l'énergie Localisation: Paris Durée: 9 mois Voici la fiche détaillée : The temporary mission is launched to support the Risk Methodologies team on several projects in the context of an on-going set of regulatory and internal audit requests / missions, on key quantitative risk topics that are strategic for the business. Key topics of the mission for the consultant will be including one or several of the below, depending on the stages of the projects at the moment the consultant will join the team: Perform the calibration of the forward vol estimator on the power perimeter . The objective of this first project would be materialized in a report containing the details of the calibration approach and results of the power estimator, along with the related recommendations for improvement. Support the Risk Methodologies team in the validation tasks that will be related to the implementation of ISDA SIMM. The tasks may include, depending on the stage of the project: Support the external provider in the theoretical understanding of the payoffs that will need to implemented in the purchased tool (linear or exotic products mainly); Support the risk methodologies team in answering to theoretical questions linked to inputs that will be requested to ensure the proper functioning of the model; Support the risk methodologies team in validating the implementation of the payoff; Support the risk methodologies team in validating the implementation of the engine to calculated IM based on ISDA requirements. Support the Risk Methodologies team in the follow up of the validation process that was conducted on ICAAP. The tasks may include for example: Interaction with the 1 Line of Defense, to provide guidance / support with respect to the recommendations drafted during the validation mission; Interaction with IT teams in charge of supporting the 1 Line of Defense to implement the answers to the recommendations Support in the eventual interactions that will take place with the regulator and or the internal audit Perform eventual validations of answers to recommendations submitted by the 1 Line of Defense. The consultant may be solicited to support / give advice on other topics, depending on the team workload and needs, like power prices studies, other estimators and ad-hoc urgent requests. PROFILE REQUIRED: you have a Bac+5 (Fr) or Master (Be) with a specialization in Applied Mathematics and/or Financial Engineering additional degrees such as top engineering schools or PhD would be a plus. strong experience (at least 8 years) in risk methodologies, such as: model validation, market risk management, banking regulatory topics in the commodity or banking sector, knowledge of energy markets being a necessity. Previous experience working for or in interaction with regulators (ECB, ACPR). Previous experience in ISDA SIMM and ICAAP is a strong added value. you are fluent in English, written and spoken (with the ability to write rigorous technical documentation) you are fluent in MS Office, and strong coding skills in Python (Jupyter + pyCharm) for pricing and statistical use cases. Being familiar with anaconda and Coding skills in C# are a plus.