Quantitative Analyst Stage (H/F)

ABOUT US (GEM) Global Energy Management (GEM) is one of ENGIE’s Business Units. As a global energy player in electricity, natural gas and energy services, we provide energy management solutions and services to our worldwide-based clients through an expertise built on more than 20 years managing the world’s largest and most diverse portfolios including power, gas, environmental and certificate products. With 8 main spots and 1,400 employees, we cover the full energy mix, serving an 800-strong client base across the value chain Global Energy Management has created an inclusive and flexible work environment where you will find dedicated and enthusiastic people passionate about the transition towards carbon-neutrality. At GEM we encourage breakthrough results, team spirit, curiosity and innovation while preserving the right work/life balance for you. At GEM, we value Collaboration & Care, Learning & Growth, Client Culture, Accountability & Trust, Leadership & Congruity. If you share our values and want to take ACTion to energize a sustainable world, then we want to hear from you ! More info on GEM Hub ( https://gems.engie.com ) or LinkedIn ( https://www.linkedin.com/company/engie-global-energy-management-solutions ). YOUR CONTRIBUTION Context Forwards, i.e. a financial contract which guarantees the delivery of an amount of electricity at a fixed price during a delivery period in the future between two counter-parties, are very liquid instruments and require a coherent and tractable mathematical framework to be able to sell forward electricity at a fair price, without arbitrage opportunities and manage its market risk with a coherent hedging strategy. To this aim, we model an infinitesimal power forward curve à la Heath Jarrow and Morton (HJM) such that any forward contract can be reconstituted when integrating the curve on the associated delivery period. Role As member of the power Research & Modelling team within Engie/Gem, you will work on the calibration of a particular HJM model on power forward markets. The intern will concern: * Measuring “Small-t” and “Big-T” seasonality on power markets * An historical study on implied volatility if possible * An evolution of the implied calibration of the model by using other products than simple vanilla options * Thanks to the results on the preceding topics, an evolution of the model may be investigated It will involve data manipulation, statistics (time series, PCA…) and stochastic calculus as well as the use of a programming language (Python or C#). Once calibrated, the model can be used for pricing/hedging model for exotic products (Swings, Storages), or used as a representation model for correlations between contracts and variance acquisition functions QUALIFICATIONS ABOUT YOU HARD SKILLS * GOOD FINANCIAL AND MATHEMATICAL SKILLS * GOOD PROGRAMMING SKILLS (PYTHON OR C#) * BASIC KNOWLEDGE OF ENERGY MARKETS WILL BE HIGHLY APPRECIATED * FLUENT IN ENGLISH SOFT SKILLS * Rigor, motivation, strong commitment, autonomy EDUCATION AND PROFESSIONAL BACKGROUND * MASTER DEGREE IN FINANCIAL MARKET * A first experience would be appreciate ABOUT ENGIE Our group is a global reference in low-carbon energy and services. Our purpose (“raison d’être”) is to act to accelerate the transition towards a carbon-neutral world, through reduced energy consumption and more environmentally-friendly solutions, reconciling economic performance with a positive impact on people and the planet. We rely on our key businesses (gas, renewable energy, services) to offer competitive solutions to our customers. With our 170,000 employees, our customers, partners and stakeholders, we are a community of Imaginative Builders, committed every day to more harmonious progress. JOB : Trading / Portfolio Management PRIMARY LOCATION : Europe-France-Île-de-France-Courbevoie ORGANIZATION : Global Energy Management SCHEDULE : Full-time NATURE OF RESPONSIBILITY : Operational / Administrative role JOB POSTING : Feb 11, 2022, 10:51:34 AM JOB TYPE : Internship