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Quant Risk Trainee

Posted 24 Mar 2024
Work experience
0 to 1 years
Full-time / part-time
Full-time
Job function
Degree level
Required language
English (Fluent)

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RESPONSIBILITIES

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

Model monitoring

  • Ensures model monitoring using pricing benchmark analysis and BackTesting analysis
  • Ensures Data quality monitoring and estimate materiality of data risk
  • Assess model assumption materiality

Margining

  • 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

Model monitoring

  • 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.

PROFILE REQUIRED

Competencies

General:

  • Excellent autonomy – role requires a lot a self-training based on strong investigation skills and autonomous testscombined 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

Functional:

  • 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:

  • 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

BUSINESS INSIGHT

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.

We are an equal opportunities employer and we are proud to make diversity a strength for our company. Societe Generale is committed to recognizing and promoting all talents, regardless of their beliefs, age, disability, parental status, ethnic origin, nationality, sexual or gender identity, sexual orientation, membership of a political, religious, trade union or minority organisation, or any other characteristic that could be subject to discrimination.

Who we are:
With nearly 12,000 employees in 37 countries, SG CIB is present in the main financial markets with extensive European coverage and representative offices in Central and Eastern Europe, the Middle East and Africa, the Americas and Asia-Pacific.
Societe Generale Corporate & Investment Banking has been committed to supporting corporates, financial institutions and investors.

Finance & Banking
London
10,000 employees