Lead Expert - CCR

Job Description: Counterparty Risk Analyst GRM

Societe Generale is one of the leading European financial services groups. Based on a diversified and integrated banking model, the Group combines financial strength and proven expertise in innovation with a strategy of sustainable growth, aiming to be the trusted partner for its clients, committed to the positive transformations of the world.

Active in the real economy for over 150 years, with a solid position in Europe and connected to the rest of the world, Societe Generale employs over 149,000 members of staff in 67 countries and supports 31 million individual clients, businesses, and institutional investors around the world. The Group offers a wide range of advisory services and tailored financial solutions to secure transactions, protect and manage assets and savings, and help its clients finance their projects. Societe Generale seeks to protect them in both their day-to-day life and their professional activities, offering the innovative services and solutions they require. The Group’s mission is to empower each and everyone who wants to have a positive impact on the future.

Our Team

We are part of the Market RISQ Department (RMA), 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, The GRM (Global Risk Methodologies) team is in charge of:

• the regulatory models for counterparty risks (EEPE, VaR on CVA) and market risks (VaR, Stressed VaR, IRC and CRM) for the entire trading portfolio.

• the standard methodologies for capital requirements and for economic models to monitor counterparty credit risk (net and gross PFE, EE, Country Risk, etc.).

• designing the stress test methodologies, to meet the regulatory requirements for internal monitoring purposes.

In addition, the GRM team plays a key role within RISQ/RMA and for the SG Group given the current regulatory context and topics and their strategic impact on SOCIETE GENERALE Group.

The Bangalore GRM team is specially handling the following topics at target:

• Computation of the Counterparty credit risk profile (EE and PFE) for exotic payoffs.

• Backtesting of the market risk metrics.

• Ongoing monitoring tasks on market and counterparty credit risk metrics.

• Calibration of the diffusion volatilities for CCR model.

Role

Accountabilities:

Major Activities

• Counterparty Risk Analysis:

  • Financial Product and pay-off analysis of derivatives on various underlying assets.

  • Document and provide commentary on the analysis performed.

  • Answer to Sales requests or any other queries.

• Credit risk metrics computation:

  • Compute and certify metrics such as EE, PFE, Loan-to-Value.

  • Document and provide commentary on the figures.

  • Respond to Risk Managers or Front-Officers requests and queries.

• Reporting & Controls:

  • Various reporting of Asset and Pay-off analysis to the client and internal partners.

• Continuous improvement:

  • Support potential system information upgrades or business evolution.

  • Document and update operational procedures.

Requirements

Background

• Background in a quantitative role within risk management or valuations across asset classes i.e., equities/rates/fx/credit in a financial institution.

Soft Skills

• Excellent Communication (oral & written)

• Detail Oriented

• Leadership

• Analytical and synthesis capacity.

• Structured approach

• Rationality

• Pro-activity, commitment

• Team spirit.

Technical

• Knowledge of exotic derivatives payoffs across asset classes and their embedded risks is a plus.

• Good understanding of different measures of Counterparty Credit Risk (EE, PFE, EEPE, etc).

• Hands-on with MS Excel, VBA is a must. Knowledge of Python is a plus.

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