Functional Expert - Modelling

Permanent contract|Bangalore|Banking Operations

Functional Expert - Modelling

Bangalore, India Permanent contract Banking Operations

Responsibilities

As a member of Bangalore GRM Model team, your main missions will be to:

  • Perform the calibration of diffusion volatilities for underlying risk factors used in the context of counterparty risk
  • Perform the back test of the distribution of simulated risk factors
  • Suggest potential improvements in code/ algorithms linked to model implementation in system in order to better explain calibrated parameters fluctuations.
  • Evaluate, in coordination with the other RISQ / RMA teams, the actions to be conducted to improve the back testing performance: granularity improvement of the risk factor modeling, inclusion of addition risk factors in the model, refinement of proxies, RISQ valuation refinement, etc.
  • Prepare presentation and present findings in relation to back-testing exercises to the model committees on risk factor themes
  • Carry out monitoring and permanent supervision checks to ensure the sustainability of the internal model: monitoring of proxies.
  • Contribute to the transmission of the regulatory culture within the Bank
  • Provide quantitative support to the Paris Team on projects aimed at addressing recommendations.

Profile required

Background

  • Masters or PhD (or similar) in a quantitative subject such as Mathematics, Physics, Economics, or Finance, or a track record of performance that demonstrates this ability.
  • Background in a quantitative role within risk management across asset classes i.e., equities/ rates/ fx/ credit in a financial institution.
  • Excellent knowledge and understanding of a wide variety of model development and validation statistical techniques covering primarily credit and market risk (Model diffusion, statistics, Monte Carlo…)
  • Significant experience in either model development or in model validation, hands-on experience in model development, model specification, model selection, model testing and validation


  • Knowledge of computing and scripting languages (Python, R..)

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

A 100% owned subsidiary of European banking and financial services major Societe Generale (SG), Societe Generale Global Solution Centre (SG GSC) came into existence in 2000. Established as an offshore development centre in Bangalore, also having a presence in Chennai, SG GSC has 15 years of sustainable delivery expertise to its credit, and develops global best practices to promote the strategic objectives of the Societe Generale Group.

SG GSC possesses in-depth understanding of the business processes and cutting-edge technologies across domains of Societe Generale’s diverse portfolio. We deliver best-in-class solutions to the Group’s entities in the realm of corporate and investment banking, retail banking, specialized financing and insurance, private banking, and global investment management and services.

We place the highest importance on our employees and provide extensive opportunities for career progression and development. SG GSC conforms to the group diversity principles, and has a multi-cultural staff representing seven nationalities, and speaking 20 languages. Women comprise 25% of our workforce.

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.

Reference: 20000OP8
Entity: SG Global Solution Centre
Starting date: 2021/02/11
Publication date: 2020/11/18
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