Market Risk Specialist

Societe Generale Global Solution Centre; Bengaluru; On-site; INR 1,000,000 - 1,500,000; Full time

Job summary

A leading financial services firm in Bengaluru is seeking an experienced professional for Mid-Senior level responsibilities focused on daily profit and loss analysis for various asset classes. The candidate will work closely with traders and internal teams to ensure accurate reporting and optimal risk management practices. Candidates should have strong analytical skills and experience in finance. This role offers a full-time position with a collaborative work environment.

Qualifications

• Must possess strong analytical capabilities for manual valuation of products.
• Ability to efficiently communicate to highlight issues in the validation process.
• Experience in coordinating with various teams like Front Office and Technology.

Responsibilities

• Analyze and report daily profit and loss for various asset classes.
• Coordinate with teams to explain P&L and perform validations.
• Monitor risk sensitivities and communicate breaches promptly.

Skills

Analytical skills

Communication

Valuation methods

Job description

Overview

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 for ad-hoc requests. 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) and 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 ad-hoc requests on regulatory topics, valuation model changes, Stress VaR window 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:

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 for ad-hoc requests. 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 requests on regulatory topics, valuation model changes, Stress VaR window calibration etc.

Employment details

Seniority level: Mid-Senior level

Employment type: Full-time

Job function: Information Technology

Industries: Banking

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

At Société Générale, we are convinced that people are drivers of change, and that the world of tomorrow will be shaped by all their initiatives, from the smallest to the most ambitious. Whether you’re joining us for a period of months, years or your entire career, together we can have a positive impact on the future. Creating, daring, innovating, and taking action are part of our DNA. If you too want to be directly involved, grow in a stimulating and caring environment, feel useful on a daily basis and develop or strengthen your expertise, you will feel right at home with us!

Still hesitating?

You should know that our employees can dedicate several days per year to solidarity actions during their working hours, including sponsoring people struggling with their orientation or professional integration, participating in the financial education of young apprentices, and sharing their skills with charities. There are many ways to get involved.

We are committed to support accelerating our Group’s ESG strategy by implementing ESG principles in all our activities and policies. They are translated in our business activity (ESG assessment, reporting, project management or IT activities), our work environment and in our responsible practices for environment protection.

Seniority level

Full-time