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Description of the Business Line or Department Model Validation & Enhancement
Validation of all the models (VAR / Pricing / Greeks /STT) used in margining computation/ risk monitoring
Specification / testing of model enhancement perform by our external vendor
Portfolio risk analysis
Provides analyses of each client's risk (VAR/ STT)
Help in client on boarding process by explaining margining model
Ensures model monitoring using pricing benchmark analysis and BackTesting analysis
Ensures Data quality monitoring and estimate materiality of data risk
Assess model assumption materiality
Designs new margining methodologies, subject to validation by RISQ
Implement new margining methodologies in collaboration with ITEC department
Acts as expert regarding VAR computations (at the request of clients, RISQ, MARK or other entities) Summary of the key purposes of the role Portfolio risk analysis
Build strong understanding of the VAR model
Troubleshoot client VAR by analyzing main Risk Factors
Design new reporting dashboard to breakdown VAR
Performs pricing model benchmark monitoring
Performs VAR BackTesting monitoring
Performs different sanity checks around model / VAR / data set up
Design new reporting dashboard to estimate risk not in VAR materiality / proxy impact materiality
Summary of responsibilities
Responsibility for ensuring that you are fully aware of and adhere to internal Policies that relate to you, your business or other businesses for which you have any level of responsibility. It is your responsibility to ensure compliance with operational risk requirements (e.g. Golden rules, security policies and regulatory requirements).
Responsibility for managing, controlling, preparing and escalating risk within the scope of your position.
Responsibility for reading, understanding and complying with the Company's Conduct and Standards and corresponding regulations. You will be notified of changes to policies in a timely manner through announcements and/or intranet updates.
Act with integrity and due skill, care and diligence in carrying out your duties. Your actions should always be able to satisfy high standards of scrutiny.
Observe proper standards of market conduct. Responsibility to ensure that you take reasonable steps to be fully aware of, understand and comply with all regulatory requirements from all regulatory bodies that are applicable to your business.
Level of Autonomy and Authority Responsibility for managing, controlling, preparing and escalating risk within the scope of the position. Observe proper standards of market conduct. Responsibility to ensure that steps are taken to be fully aware of, understand and comply with all regulatory requirements from all regulatory bodies that are applicable to the business.
Excellent autonomy - role requires a lot a self-training based on strong investigation skills and autonomous tests combined with analytical rigour
Good communicator - role requires interaction numerous internal parties and departments.
Good organisational skills are required to effectively accommodate workflows and manage priorities.
Team player: duties are shared with other team members and all effectively work as one unit.
Excellent Methodical working techniques
Knowledge of Risk management
Good knowledge of the 5 asset classes (Equity/Commo/fx/IR/Credit)
Good knowledge of the vanilla derivatives product (Futures / Options / Bonds /Swaps)
Strong knowledge of the Main Greeks (Delta/ Vega/ Gamma / Dv01) and Risk Factors
Good knowledge of Monte Carlo VAR
Technical/ Systems Knowledge: MS Excel, Python, Visual Basic for Application
Work experience Internship at another Financial Institution Education Master's degree with specialization in finance and statistics Languages French preferably
Why Join Us
If you feel you have the required experience and qualifications, then please apply to the SG Resourcing Team, and we will manage your application. At Societe Generale, we believe our people are our strength and are core to the success of our business. As such, we search for, recruit and appoint the best available person on the basis of aptitude and ability, regardless of sex, marital or civil partnership status, race, colour, nationality, ethnic or national origins, pregnancy, disability, age, sexual orientation, religion, belief or gender reassignment
People join for the impact they can have on us. They stay for the impact we have on them. A flatter structure offers visibility and exposure beyond that of our competitors, so you know our names, and we know yours. It's personable, human, and inspires success through passion. By encouraging open mindedness and a willingness to share ideas, we have adapted to market changes and thrived through innovation. Bringing words like "hard work" and "dedication" together with "community" and "respect" has enabled us to work collaboratively and build our future together. We call this Team Spirit and it's what makes us different. It's what makes you different.
All our positions are open to people with disabilities
Job code: 19000TTR Business unit: SG CIB Starting date: 30/12/2019 Date of publication: 01/11/2019