Description of the Business Line or Department
The main mission of the Risk Management Division (RISQ) is to contribute to the sustainable development of the Société Générale Group's (the Group) activities and profitability by defining, with Finance Division and Business Units, the Group’s risk appetite (adapted in the Group's different business lines) and by establishing, in its role as second line of defense, a risk management and monitoring system. In carrying out its duties, RISQ combines independence from the business lines with a close collaboration with core businesses which are responsible in the first instance for the transactions they initiate.
RISQ/RMA oversees risks on market activities combining the following missions:
- compute, analyse and certify PnL & Risk metrics
- determine the market risk framework, the metrics used to monitor risks and the reserves for market transactions, validate specific transactions (deal flow), and analyse exposure
- determine the counterparty risk management framework for hedge funds and clearing houses (large atypical market participants), validate specific transactions (deal flow), and analyse exposure
- design regulatory market and counterparty RWA models, perform quantitative audits of valuation models, and approve and manage structural risk and liquidity risk models and frameworks;
RISQ/ALM oversees and challenges the following elements:
- liquidity risk exposures and processes
- the modelisation of available assets over time
- the market risk in the banking book exposures.
Located in London, RISQ/RMA/UK oversees risks on market and ALM activities for the UK perimeter. As such, it performs on its perimeter most risk management tasks under the responsibility of RISQ/RMA. RISQ/RMA/MRF’s role is to acquire and maintain a strong knowledge of MARK activities to help defining market risk framework / appetite and to provide Market related expertise to other departments. MRF is in charge of the definition of methodologies to identify and measure market risk (mono asset class), limits / thresholds definition, regular business review, New product (NPC) and transactions (Deal Flow) analyses: assessment, authorization and/ or issuance of recommendations. Besides, MRF UK is also in charge of ALM risk management.
Summary of the key purposes of the role
- Help following-up the activity of trading desks in Europe, including close collaboration with teams in charge of data computation and excess follow-up
- Follow-up the market moves on a daily basis, in line with the positions on the trading desks
- Help contributing to Weekly and Monthly Management reporting with overview of risks, results and exposures
- Help detect UK specific market dynamics or alert both UK and Global management about key market events
- Help designing and implementing Market and ALM risk frameworks
- Help following the Liquidity and structural risk exposures of the UK entities. Work in collaboration with Finance department on the analysis of the risks in order to provide value added commentaries.
Summary of responsibilities
- Extract relevant information from periodic reporting to detect trends or assist in performing a cross-asset control
- Develops key tools to produce metrics links to overshoot statistics, limits in place, transversal graphs and overall risk metrics deployed at UK level
- Communicate with Paris or local risk factor experts on stress test shocks calibration, Stress Test changes impact on UK perimeter, ad-hoc stress testing review, as well key risk factor review mechanisms
- Interacts with Risk production teams to develop robust stress testing as well with RISQ-COO team to detailed specifications to ensure risk metrics, risk methodologies and risk limits are properly reviewed and documented from a quantitative point of view.
- Develops understanding of main metrics to be able to report on key, high-level synthetic summaries to be included in committee Information Pack, as well as developing additional supporting documents based on management request
- Develops in-depth understanding of risk-setting process, Regulatory metrics, Stress Testing (Historical, Hypothetical and Adverse Scenarios)