Lead Expert - MVA

About the job

Reference 25000CP4 Responsibilities Mission Within the Market RISQ department, our team (RISQ/RMA/MVA) focuses on the Front-Office valuation models and are in charge of validating market valuation framework of market assets. These assignments are absolutely strategic for the management of the Groupe and its compliance with banking regulations. Our main responsibilities are Ø Validate valuation models, Ø Validate the adequacy between these models and the payoffs, Ø Validate the sources and marking of parameters, Ø Validate methodologies of valuation adjustments both on models or on parameters Ø Identify and monitor the model risk and valuation risk conducted by the market operation Role In this role, the team member will be responsible for running and developing official valuation RISQ processes on all asset classes including: Ø Review of Pricing Models and supervision of Ongoing Model monitoring done by LOD1 Ø Review the Payoff Model adequacy for Exotic derivatives, and independently review the payoff implementation Ø Review Parameter Marking Policies, replay the methodologies independently for deep-dives, and supervision of LOD1 Ongoing monitoring Ø Review Valuation Reserve policies (Fair value reserves, PVA reserves), replay the methodologies independently for deep-dives, and supervision of LOD1 Ongoing monitoring Ø Participate in transversal studies across model inventory management, tiering exercises of Pricing models, Payoffs, Reserve methodology and Source Validations, Ø Technical Discussions on Valuation methodologies with various LOD1 and LOD3 teams Ø Work with multiple datasets consisting of market data, Risk analysis, stress tests etc, to identify valuation risks Ø Contribute to preparing presentations for the top management to be used in several Committees Ø Working closely with the IT Quants team within the project to design automation solutions Requirements Profile required Education Ø Postgraduate Degree in Finance/Banking/MBA/CFA/FRM Experience Ø 0-7 years with relevant experience in valuation of financial derivatives Functional Ø Strong knowledge of financial products and their valuation methods (prefer expertise on both – equity and fixed income products (vanilla and exotics)) Ø Good understanding of regulations on model risk management such as SR11/7 Ø Good understanding of accounting reserves and regulatory prudent reserves Ø Good understanding of statistical methods Ø Ability to pay attention to detail, pro-active, critical thinking, effective problem solving and analytical skills Technical Ø Proficiency in Python, VBA, MS Office Tools (Especially in Excel) Ø Ability to use internal databases and financial pricing libraries 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 insightAt 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.

Requirements

• valuation models
• financial derivatives
• Python
• VBA

Qualifications

• Postgraduate Degree in Finance/Banking/MBA/CFA/FRM

Preferred Technologies

• valuation models
• financial derivatives
• Python
• VBA

About the company

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