Quantitative Risk Analyst (m/f/n), Esch-sur-Alzette

Your tasks

You will be part of the Strategy & Risk Management Team and you will contribute, next to daily Risk Management tasks, to the improvement and extension of quantitative models and tools used within the team and across the company, perform governance and limit controls as well as support the team’s other activities related to Market and Credit risk, Complex customer Pricing, Business Process and Data Management and Regulatory Impact Analysis & Reporting.

• You implement and calibrate methods and parameters for the valuation and risk indicator computation of Enovos Markets and Renewables portfolio of energy derivatives and assets
• You contribute to consulting internal clients on availability and appropriate usage of the risk-indicators
• You perform work on model analysis, creation, implementation, and testing related to VaR / EaR Indicators for Credit Risk and Market Risk as well as to Customer Pricing and Regulatory Reporting.
• You automatize and optimize the processes in the department and implement related tools and data flows, as well as further develop and improve the cloud-based infrastructure of the department.
• You maintain, challenge, and improve current policies and governance documents
• You support the review and the modelling of business processes and data management across the company with the focus on effective and efficient controls and risk mitigation
• You execute customer Credit Risk checks and define and monitor limits for our wholesale counterpart exposure
• You support complex customer pricings and the maintenance of the back-end pricing infrastructure
  

Your profile

• You hold a master’s degree in a quantitative discipline (i.e., mathematics, physics, statistics, actuarial sciences, finance, engineering). A relevant PhD would be considered as asset.
• You have already a first professional experience in a relevant sector of at least 2 years
  
• Strong proven programming skills in at least one of the following: Python, MATLAB, C/C++, Java
• An experience with relational databases (Postgres, SQL Server) is a plus
• Experience with AWS (or other cloud providers) and related developer tools and methods, such as Gitlab, Docker and CI/CD is an asset
• A professional certification like ERP, FRM, PRM, CFA, ... is a nice-to-have
• Rigour and precision, as well as curiosity and the willingness to explore new unknown topics on a regular basis
• Team oriented player with a sense of discretion and confidentiality
• Effective communications skills in English. The knowledge of German or French will be considered as an advantage