Market Risk Analyst I_RKMR1G

What You Can Expect

As a Market Risk Analyst, under the supervision of the ENGIE Energy Marketing North America (EEMNA) Commodity Risk Manager, you will prepare and communicate the EEMNA's commodity position, Profit & Loss (P&L), and all the risk metrics.

You will help review, verify and explain all the official daily risk metrics such as P&L, V@R, Drawdown, stress test, and Greek limits. Help coordinate the New Product Analysis (NPA) for new products, markets, or models. Participate in the Economic Value Added (EVA) valuation to model the cost of market and credit risk for structured transactions. Provide Credit Risk team quantitative support on counterparty credit risk management (CCRM) metrics, such as Potential Future Exposure (PFE), Credit Value at Risk (V@R) and Conditional Value at Risk (CV@R), Credit Value Adjustment (CVA), and Debt Value Adjustment (DVA), Probability of Default (P.D.), and loss given default (LGD) and recovery rate.

• Help define and implement the annual risk mandate
• Monitor Delta/Vega's position against the limit daily
• Explain daily P&L by desk, book, or transaction
• Monitor daily: V@R, Stress test, Drawdown, etc.
• Help to maintain and improve the EEMNA Price Control framework by automating price upload, mapping, and creating vanilla and exotic forward curves when needed
• Provide risk management services to ENGIE North America (ENA) specified in Service Level Agreements (SLAs) and other service agreements (position and P&L report, PFE, etc)   
• Support the Credit Risk team quantitatively by providing Cash@Risk analysis, Potential Future Exposure (PFE) on the current portfolio by counterparty and netting set or on new potential transactions and other counterparty credit risk metrics (Loss given default, Probability of default, Recovery rate, CV@R, CVA, DVA, Business Value Analysis (BVA))
• Work closely with traders on hedging/trading strategies, risk monitoring, and risk reporting
• Review, support, and verify EEMNA pricing tools the Front office uses, such as FIS options pricing models, Financial Information Systems (FIS)/ Financial Engineering Associates (FEA) storage valuation models, MathWorks MATrix LABoratory (MATLAB), internal/external price/production shaping models, renewable pricing models, Oracle Crystal Ball, etc.
• Participate in the New Product Agreement (NPA) process to assess all the potential Front-to-back requirements with any new commodity, product, market, instrument, structured deal, or model
• Participate in the Economic Value Added (EVA) analysis on certain proposed transactions that exceed the EEMNA Delegation of Authority (DoA) by computing the cost of market and credit (CVA/DVA)
• Support the internal and external risk metrics and contract valuation audits
• Monitor and report on the risk-decreasing and risk-increasing activities mandated by the European Market Infrastructure Regulation (EMIR)

What You’ll Bring

• A minimum of Bachelor’s Degree in which you completed courses in Economics, Finance, Environmental Studies, Computer Science, Physics, Engineering, Mathematics, Statistics, or related field
• Excellent communication skills, both verbal and written
• A strong understanding of Energy Commodity Trading Environment and Financial Market/Theory
• Option pricing theory (Black & Scholes, binomial tree, Greeks and Brownian motion)
• Statistics and probability theory applied to finance
• V@R methodology such as Monte-Carlo, parametric, and historical, Volatility forecasting using Exponential Weighted Moving Average (EWMA) and Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) (1,1) model
• Handling/querying large datasets or databases using SQL, VBA, and POWER BI

Additional Details

• The temporary work term will be from September 2024 to December 2024, full-time or part-time work schedule working between 20 - 40 hours per week
• Must be willing and able to comply with ENGIE’s policy with respect to COVID vaccination and testing 
• Must be willing and able to comply with all ENGIE ethics and safety policies 

Compensation

Salary Range: $21.00 – $34,00 USD hourly

This represents the average expected pay range for a qualified candidate.

Actual offered salary may depend on geography, experience, industry knowledge, education, internal pay alignment, or other bona fide factors.

ENGIE complies with all federal, state, and local minimum wage laws. Actual salary offered may vary depending on geography, experience, education, internal pay alignment, or other bona fide factors. 

Your Talent Acquisition Partner can share more specific information regarding the benefits or the salary for the position based on the work location.

Why ENGIE?

ENGIE North America isn’t just participating in the Zero-Carbon Transition, we’re leading it!  Join us as we develop energy that is renewable, efficient, and accessible to everyone.  

At ENGIE, our goal is to support, promote, and thrive on diversity, equity, and inclusion.  We do so for the benefit of our employees, customers, products and services, and community.  ENGIE is proud to be an equal opportunity workplace, and we are firmly committed to creating an equitable and inclusive environment for all employees.

We are committed to providing employees with a work environment free of discrimination and harassment.  All qualified applicants will receive consideration for employment without regard to race, color, sex, sexual orientation, gender identity, religion, national origin, disability, veteran status, or other legally protected status.

If you need assistance with this application or a reasonable accommodation due to a disability, you may contact us at ENGIENA-ENGIEHR@engie.com. This email address is reserved for individuals with disabilities in need of assistance and is not a means of inquiry regarding positions or application status.

We are unable to sponsor or take over sponsorship of an employment visa for this role at any time.

The safety of our employees is our number one priority. All employees at ENGIE have both a duty and the authority to STOP WORK if unsafe acts are observed.