Publiée le 10/02/2021 par STHREE SAS pour HUXLEY

Lieu : Paris
Durée : 9 mois
Tarif : Tarif non renseigné
Télétravail : Non
Début : ASAP

Description de la mission :


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 I...

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