Senior Analyst - Market Risk/ Product control
- Societe Generale
- 2 - 6 years
- Bengaluru
- 1 month ago
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Job Description
Location Bangalore
About the department:
The Risk Department is at the heart of the Group's business with the main mission of contributing to the development of the businesses and their profitability through the implementation of risk appetite.
Working in the Risk Department means working in an intellectually exciting profession and living a stimulating daily life, punctuated by current economic events.
It is, as a key partner of the business, to be close to all the Group's businesses. Finally, joining us means integrating a sector of excellence to acquire expertise at the heart of the bank and access new development opportunities.
RISQ/RMA department oversees monitoring risks on market activities (approximately 800 employees mainly in Paris, New York, Hong Kong and Bangalore).
Within RISQ/RMA, MMG (Metric Monitoring Group) department ensures various activities like PnL attribution certification, validation of daily PnL reporting on various asset class, Market Risk certification, VAR, SVAR & STT certification along with various improvements in daily process.
You will join the Process as Analyst/ Sr. Analyst in RISQ/RMA/MMG/Equity or RISQ/RMA/MMG/Fixed-Income team: whose aims is to ensure daily analysis, certification and commentary on Economic P&L and Market Risk Metrics like Value at Risk, Greeks, Stress Test etc. for Equity / Equity Derivative and Fixed Income / Fixed Income Derivative products respectively.
PnL Responsibilities
1. Analysis, Validation, Commentary and Reporting of Daily Profit and Loss for Equity / Fixed Income, Equity / Fixed Income Derivatives and Hybrid Asset class.
2. Explanation / Substantiation of Daily Profit and Loss by attributing the Profit and Loss derived from different Greeks (Delta, Gamma, Vega, Rate, Dividend, Repo etc.) and new deals
3. Analysis of Validation, Commentary and Reporting of FRTB Risk Profit and Loss.
4. Analysis and commentary of VaR (Value at Risk) Back Testing breaches. Suggesting steps to ensure reduction of VaR Back Testing breaches
5. Co-ordinating with Accounting team to explain difference between Month End Accounting and Economic P&L.
6. Practicing appropriate controls and reviews Daily P&L numbers and Adjustments. Co-ordination and follow up with Referential and Trade Booking team to ensure all issues linked with P&L are mitigated quickly.
7. Create and maintain adequate documentation for the responsible process and implement appropriate controls and checks in the process
8. Close contact with Traders to explain the daily P&L and provide swift service traders to adhoc request
9. Having good analytical skills to perform manual valuation of the Products for the respective asset classes
Market Risk Responsibilities
1. Analysis, Validation, and commentary of Value at Risk (VaR), Stressed Value at Risk (SVaR), Stress Test and Risk Sensitivities (Equity Delta, Interest Rate Delta, Basis Delta, FX Delta, Equity Vega, Interest Rate Vega, etc) for instruments exposed to Market Risk on Equity / Fixed Income, Equity / Fixed Income Derivative and Hybrid products.
2. Sound understanding of Sensitivity (Greeks) * Shock approach and Full Valuation methodology to explain the market risk move and level.
3. Analysis, Validation, and commentary on FRTB metrics like Default Risk Charge, RRAO, Standard Based Model etc.
4. Level and Move analysis of the market risk metrics and sensitivities with proper justification.
5. Limit monitoring of risk sensitivities, VaR and SVaR and prompt communication to FO about the breaches.
6. Active involvement in adhoc request on regulatory topics, valuation model changes, Stress VaR widow calibration etc.
Generic Responsibilities
1. Focus on error free production with the stipulated time bound process.
2. Having good analytical skills to perform manual valuation of the Products for the respective asset classes.
3. Co-ordinate with Front Office (FO), Technology teams and other internal stakeholders when required during the validation process.
4. Effective communication to highlight issues in the validation process to the BGL management and Regions.
5. Create and maintain adequate documentation for the responsible task and implement appropriate controls and checks in the process
6. Should work in tandem with onshore risk counterparts for onboarding new processes and ad-hoc query resolution.
7. Should be able to work in a team environment and should work towards the teams goals as priority.
Job Classification
Industry: BankingFunctional Area / Department: Risk Management & ComplianceRole Category: FinanceRole: Market RiskEmployement Type: Full timeContact Details:
Company: Societe GeneraleLocation(s): Bengaluru
Keyskills: Product Control Market Risk FRM VAR Stress Testing Value At Risk Backtesting Profit And Loss P&L Attribution Greeks PNL
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