Quantitative Risk Analyst

Quantitative Risk Analyst

Enovos Group

Esch-sur-Alzette, Luxembourg

Your tasks

You will be an active member of the Market Risk Team and you will contribute to the daily tasks of calculating, monitoring and reporting daily risk figures like mark-to-market, Value-at-Risk, Earnings-at-Risk, Credit-at-Risk for our Power and Gas portfolio. Furthermore, you will work on the improvement and extension of quantitative models and tools used within the team and the company.

  • You perform the daily reporting of risk figures to the Management;
  • You implement and calibrate the methodologies and parameters for the valuation and risk indicator computation of Enovos Markets portfolio;
  • You give your input to quality assessment and assurance of above data;
  • You contribute to consulting internal clients on availability and to appropriate usage of the valuation data and risk-indicators;
  • You perform project work on model analysis, creation, implementation and testing;
  • You operate limit and authorization controls (e.g. open positions, stop-loss, VaR limits);
  • You actively participate in modelling and calibration of price forward curves;
  • You execute stress-tests and back-testing, e.g., for VaR models.

Your profile

  • Master Degree in a quantitative discipline (i.e. statistics, mathematics, physics, actuarial sciences, or finance);
  • Strong programming skills in one or more of the following languages: MATLAB, Python, C, C++, Java. VBA is considered as asset;
  • Experience with databases would be an advantage;
  • A professional certification like ERP, FRM, PRM, ... is considered as asset;
  • Experience in the modelling and valuation of financial (especially energy) products and in risk measurement/management would be an asset;
  • Experience in the energy (trading) sector and a strong ability to assess and understand the different challenges of the energy markets;
  • Rigour and precision, as well as development, implementation and model analysis;
  • Team oriented player with a sense of discretion and confidentiality;
  • Effective communications skills in English. German is considered as asset.

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© EuroJobsites 2021

EuroJobsites is a registered company number: 4694396 VAT number: GB 880 9055 04

Registered address: EuroJobsites Ltd, Unit 8, Kingsmill Business Park, Kingston Upon Thames, London, KT1 3GZ, United Kingdom

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