Senior Analyst - Market Risk/PNL

Societe Generale Global Solution Centre; Bengaluru; On-site; INR 800,000 - 1,200,000; Full time

Job summary

Societe Generale Global Solution Centre in Bengaluru is seeking a Market Risk Analyst to perform daily P&L analysis and risk reporting for equity, fixed income, and derivatives. You will attribute P&L to Greeks, validate VaR/SVaR metrics, and support risk governance with documentation and controls.

The role requires close collaboration with Front Office, Traders, and Accounting teams to ensure accurate and timely risk reporting and issue resolution.

Qualifications

• Strong analytical skills for P&L valuation and risk analysis.
• Experience in VaR, SVaR and stress testing for market risk.
• Ability to coordinate with Front Office, Trading and Accounting teams.

Responsibilities

• Analysis, validation, and commentary of Daily P&L for Equity and Fixed Income products.
• Attribution of P&L to Greeks (Delta, Gamma, Vega, Rate, Dividend, etc.).
• Analysis of VaR and SVaR, back testing breaches, and risk sensitivities.
• Coordinate with Accounting to explain Month End vs Economic P&L.
• Maintain documentation and implement controls in the process.
• Liaise with Traders to explain daily P&L and respond to ad-hoc requests.
• Perform manual valuation of products across asset classes.

Job description

• Analysis, Validation, Commentary and Reporting of Daily Profit and Loss for Equity / Fixed Income, Equity / Fixed Income Derivatives and Hybrid Asset class.
• 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
• Analysis of Validation, Commentary and Reporting of FRTB Risk Profit and Loss.
• Analysis and commentary of VaR (Value at Risk) Back Testing breaches. Suggesting steps to ensure reduction of VaR Back Testing breaches
• Co-ordinating with Accounting team to explain difference between Month End Accounting and Economic P&L.
• 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.
• Create and maintain adequate documentation for the responsible process and implement appropriate controls and checks in the process
• Close contact with Traders to explain the daily P&L and provide swift service traders to adhoc request
• Having good analytical skills to perform manual valuation of the Products for the respective asset classes
• 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.
• Sound understanding of Sensitivity (Greeks) * Shock approach and Full Valuation methodology to explain the market risk move and level.
• Analysis, Validation, and commentary on FRTB metrics like Default Risk Charge, RRAO, Standard Based Model etc.
• Level and Move analysis of the market risk metrics and sensitivities with proper justification.
• Limit monitoring of risk sensitivities, VaR and SVaR and prompt communication to FO about the breaches.
• Active involvement in adhoc request on regulatory topics, valuation model changes, Stress VaR widow calibration etc.

Reference 260008TB

Responsibilities

PnL Responsibilities

• Analysis, Validation, Commentary and Reporting of Daily Profit and Loss for Equity / Fixed Income, Equity / Fixed Income Derivatives and Hybrid Asset class.
• 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
• Analysis of Validation, Commentary and Reporting of FRTB Risk Profit and Loss.
• Analysis and commentary of VaR (Value at Risk) Back Testing breaches. Suggesting steps to ensure reduction of VaR Back Testing breaches
• Co-ordinating with Accounting team to explain difference between Month End Accounting and Economic P&L.
• 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.
• Create and maintain adequate documentation for the responsible process and implement appropriate controls and checks in the process
• Close contact with Traders to explain the daily P&L and provide swift service traders to adhoc request
• Having good analytical skills to perform manual valuation of the Products for the respective asset classes
• 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.
• Sound understanding of Sensitivity (Greeks) * Shock approach and Full Valuation methodology to explain the market risk move and level.
• Analysis, Validation, and commentary on FRTB metrics like Default Risk Charge, RRAO, Standard Based Model etc.
• Level and Move analysis of the market risk metrics and sensitivities with proper justification.
• Limit monitoring of risk sensitivities, VaR and SVaR and prompt communication to FO about the breaches.
• Active involvement in adhoc request on regulatory topics, valuation model changes, Stress VaR widow calibration etc.

Market Risk Responsibilities

• 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.
• Sound understanding of Sensitivity (Greeks) * Shock approach and Full Valuation methodology to explain the market risk move and level.
• Analysis, Validation, and commentary on FRTB metrics like Default Risk Charge, RRAO, Standard Based Model etc.
• Level and Move analysis of the market risk metrics and sensitivities with proper justification.
• Limit monitoring of risk sensitivities, VaR and SVaR and prompt communication to FO about the breaches.
• Active involvement in adhoc request on regulatory topics, valuation model changes, Stress VaR widow calibration etc.

Generic Responsibilities

• Focus on error free production with the stipulated time bound process.
• Having good analytical skills to perform manual valuation of the Products for the respective asset classes.
• Co-ordinate with Front Office (FO), Technology teams and other internal stakeholders when required during the validation process.
• Effective communication to highlight issues in the validation process to the BGL management and Regions.
• Create and maintain adequate documentation for the responsible task and implement appropriate controls and checks in the process
• Should work in tandem with onshore risk counterparts for onboarding new processes and ad-hoc query resolution.
• Should be able to work in a team environment and should work towards the team’s goals as priority.

Profile required

Generic Responsibilities

• Focus on error free production with the stipulated time bound process.
• Having good analytical skills to perform manual valuation of the Products for the respective asset classes.
• Co-ordinate with Front Office (FO), Technology teams and other internal stakeholders when required during the validation process.
• Effective communication to highlight issues in the validation process to the BGL management and Regions.
• Create and maintain adequate documentation for the responsible task and implement appropriate controls and checks in the process
• Should work in tandem with onshore risk counterparts for onboarding new processes and ad-hoc query resolution.
• Should be able to work in a team environment and should work towards the team’s goals as priority.

Why join us

"We are committed to creating a diverse environment and are proud to be an equal opportunity employer. All qualified applicants receive consideration for employment without regard to race, color, religion, gender, gender identity or expression, sexual orientation, national origin, genetics, disability, age, or veteran status"

Business insight

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