Functional Expert - Model Development

Job description

Responsibilities

As a part of the Risk Department, you will be 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 on a daily basis. As a key business partner, the department is in close proximity to all of the Group's business lines. Joining us would mean integrating into a network of proven excellent at the very center of the bank's activities, opening access to new and exciting development opportunities.

Within RISQ, the department ERA (Enterprise Risk Analytics) handles the analysis and the support in the steering of all the risks of the Group: supervision and steering of the rating system of the credit risk, the measure of the capital of the Group and the provisions (reserves), the analysis of the risk profile of the Group including under stress and in forward-looking vision..

These assignments, carried out in the context of projects or production processes whose scope or results are significant for the management of the Group or its compliance with banking regulations, are subject to defined and constrained schedules and resources, in the contexts demanding economic and regulatory environment.

Profile Required

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RISQ / ERA / MMS (Model Monitoring and steering), has in particular for mission

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- Contribute to the follow-up of the performance of the models and the plan of rating,

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- Produce and analyze the backtest of the models,

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- Participate on examination of the adequacy of the calibrations of the models,

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- Produce reporting's and internal indicators of steering associated to its scope (perimeter) of intervention.

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In this context, you realize the analysis and the production of performance indicators of the device (plan) of rating. Strength of proposal, you also have for mission to search and implement opportunities of improvement of the operating efficiency of the service (department) (Improvement of processes, evolution of tools).

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The job recovers the missions and the following works:

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- Produce and analyze the performance indicators of the models,

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- Realize backtests under the responsibility of RISQ / ERA

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- Manage and produce the reporting's of respective scope (perimeter) of intervention

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- Produce support for monitoring and transversal management of the scoring system

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- Contribute to IT evolutions and associated approvals, prioritization of evolutions and participation in arbitration decisions.

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Fundamental Review of Trading Book (FRTB): Its a new regulation which the banks need to comply by 31/12/2019. SG is currently working on revisiting the entire daily PnL production, income attribution, commentary and reporting process to develop new processes aligned to FRTB. SG is setting up a new team which will be working closely with current DPL team and understand the current processes and propose new processes aligned to FRTB regulations.

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FRTB introduces a reviewed boundary between trading and banking book, and reinforced rules regarding related transfers and reclassification. At this stage impacts mostly consist in reviewing documentation and adapting controls and processes.

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The Product Control team is responsible for the independent daily PnL production, income attribution, commentary, reporting and scrutinizing with FO expectations. market Risk production and understanding Risk metrics.

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Primary tasks include but are not limited to:

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• Oversight of the PnL & Controlling process, P&L Adjustments, Risk and Income Attribution

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• Work as part of various project groups designed to improve current Pnl Chain.

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• Work closely with various teams: Market Risk, MO, FO, Regulators , IT, etc

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• some deliverables writing (example : operating mode, when processes will be written)

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• Assist in Testing phase of proposed new models and methodology

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• Perform Regulatory Quantitative Impact Study (QIS)

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• Enhancement of upstream controls strategy (Propose and Drive the changes required in process & structural flow)

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

As a part of the Risk Department, you will be 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 on a daily basis. As a key business partner, the department is in close proximity to all of the Group's business lines. Joining us would mean integrating into a network of proven excellent at the very center of the bank's activities, opening access to new and exciting development opportunities.

Within RISQ, the department ERA (Enterprise Risk Analytics) handles the analysis and the support in the steering of all the risks of the Group: supervision and steering of the rating system of the credit risk, the measure of the capital of the Group and the provisions (reserves), the analysis of the risk profile of the Group including under stress and in forward-looking vision..

These assignments, carried out in the context of projects or production processes whose scope or results are significant for the management of the Group or its compliance with banking regulations, are subject to defined and constrained schedules and resources, in the contexts demanding economic and regulatory environment.

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.

Job code: 20000FVZ
Business unit: SG Global Solution Centre
Starting date: 17/08/2020
Date of publication: 10/08/2020