RISQ Valuation Lead Expert – MVA

Our team

We are part of the Market RISQ Department, and are at the center of Société Générale’s business. The Risk Department aims to contribute to the development of business lines and their profitability through a challenging risk culture. Working within the Risk Department is intellectually stimulating, and current economic activities guide our analysis daily. As a key business partner, our department is close to all the Group’s business lines. Joining us would mean integrating a network of proven excellence at the very center of the bank’s activities, opening access to new and exciting development opportunities.

 

Mission

Within the Market RISQ department, our team (RISQ/RMA/MVA) focuses on the Front-Office valuation models and are in charge of validating market valuation framework of market assets. These assignments are absolutely strategic for the management of the Groupe and its compliance with banking regulations. Our main responsibilities are

Ø   Validate valuation models,

Ø   Validate the adequacy between these models and the payoffs,

Ø   Validate the sources and marking of parameters,

Ø   Validate methodologies of valuation adjustments both on models or on parameters

Ø   Identify and monitor the model risk and valuation risk conducted by the market operation

 

Role

In this role, the team member will be responsible for running and developing official valuation RISQ processes on all asset classes including:

Ø   Review of Pricing Models and supervision of Ongoing Model monitoring done by LOD1

Ø   Review the Payoff Model adequacy for Exotic derivatives, and independently review the payoff implementation

Ø   Review Parameter Marking Policies, replay the methodologies independently for deep-dives, and supervision of  LOD1 Ongoing monitoring

Ø   Review Valuation Reserve policies (Fair value reserves, PVA reserves), replay the methodologies independently for deep-dives, and supervision of   LOD1 Ongoing monitoring

Ø   Participate in transversal studies across model inventory management, tiering exercises of Pricing models, Payoffs, Reserve methodology and Source Validations,

Ø   Technical Discussions on Valuation methodologies with various LOD1 and LOD3 teams

Ø   Work with multiple datasets consisting of market data, Risk analysis, stress tests etc, to identify valuation risks

Ø   Contribute to preparing presentations for the top management to be used in several Committees

Ø   Working closely with the IT Quants team within the project to design automation solutions

Requirements

Education

Ø   Postgraduate Degree in Finance/Banking/MBA/CFA/FRM

Experience

Ø   5-7 years with relevant experience in valuation of financial derivatives  

Functional

Ø   Strong knowledge of financial products and their valuation methods (prefer expertise on both – equity and fixed income products (vanilla and exotics))

Ø   Good understanding of regulations on model risk management such as SR11/7

Ø   Good understanding of accounting reserves and regulatory prudent reserves

Ø   Good understanding of statistical methods

Ø   Ability to pay attention to detail, pro-active, critical thinking, effective problem solving and analytical skills

Technical

Ø   Proficiency in Python, VBA, MS Office Tools (Especially in Excel)

Ø   Ability to use internal databases and financial pricing libraries