Market Risk - Head of Models & Valuation

 New York, United States       Permanent contract        Risks

Responsibilities

Main accountabilities

  • Managing the validation process for the pricing models and valuation framework used in the US and their adequacy within the SG US scope in compliance with SG US Model Risk Management Policy and Framework
  • Managing the validation process for the liquidity models used in the US and their adequacy within the SG CUSO scope
  • Representing the 2nd LOD for pricing and liquidity models within SG US model risk management framework in front of the team partners (MARK, DFIN, MRM, LRM and other RMA teams), Internal Audit and regulators.

Level of Autonomy and Authority

  • authority to make decisions within his/her level of delegation
  • authority to allocate resources or incur expenditures in connection with the Function
  • authority to represent RISQ/RMA/MVA Function (e.g. representation in committee, senior management meetings, meetings with external parties including regulators)
  • day-to-day management of the department, division or functional unity carrying on that Function
  • In particular, as the team manager: recruitment, development, career evolution, compensation, implement roadmaps and changes.

Mission details

  • Pricing models
    The team is in charge of the independent validation of the models used for the capital market products valuation and the adequacy of the valuation framework. This highly quantitative role, in strong connection with the RISQ/RMA/MVA, includes:
    • Independent model validation in compliance with SG US Model Risk Management Policy and Framework (SR11-7 standards): review of the conceptual soundness of model specification and assumptions including sensitivity tests, tests in stressed conditions, correctness of implementation, robustness of numerical aspects, etc.
    • Review of product-model adequacy in light of hedging strategies and market liquidity with studies of product sensitivities in various market conditions (FOPI process)
    • Review of the methodologies of marking of the parameters (i.e. validation of explicit parameters sources and of methodologies used to determine implicit parameters), reserves and valuation adjustment methodologies.
    • Strong and proactive interaction with Trading, R&D teams, risk managers and finance
  • Liquidity models
    The team is responsible of the independent validation of liquidity models, notably the SG CUSO Liquidity Stress Testing (LST) model as requested by the EPS. This quantitative role in connection with the RISQ/RMA/ALM and the SG US Liquidity Risk Management (RISQ/AME/RMA/LRM) teams, includes:
    • Effective challenge of models’ conceptual soundness, implementation, ongoing monitoring and outcome analysis in accordance with SR11-7 guidelines.
    • Documentation of the validation work and presentation of the 2nd LOD conclusions to relevant committees in line with the SGUS Model Risk Management Policy and Framework.

Profile Required

Competencies 

  • Commitment:
    • communicate a clear vision and strategy to achieve within our means and best practices;
    • lead by example on how to take the extra steps to achieve goals
  • Responsibility:
    • express risk convictions and informed decisions with courage;
    • empower team members appropriately
  • Client Focus:
    • ensure sustainable growth and long-term positive impact on businesses of decisions and those of the team;
    • listen with genuine concern to clients and internal partners needs with courtesy and respect
  • Innovation:
    • lead on transforming trends and practices (external, internal);
    • think outside of the box and find innovative means for risk management

Technical Skills

  • Technical expertise in mathematical finance
  • Market knowledge (derivatives, hedging mechanisms, etc) and ability to identify and prioritize risks embedded in derivative products
  • Written and oral communication skills
  • Strong risk culture and prudential regulation knowledge
  • Management capabilities

Risk Management 

Employees should understand the institution’s approach to risk management and their respective roles in supporting a strong risk culture, as outlined in the SGUS Operations Enterprise Risk Management Framework. 


Our Culture 

At Societe Generale, we live by our 4 core values of commitment, responsibility, team spirit and innovation. We are engaged and demonstrate consideration for others. We act ethically and with courage. We focus our talent and energy on collective success. We experiment and propose new ideas. This way, we maximize our ability to serve client needs and anticipate market changes. Société Générale is committed to strengthening bonds with colleagues, communities and the world in which we live, because relationships are at the heart of how we operate. 

Business Insight

Société Générale Corporate & Investment Banking (SGCIB) is the third largest investment bank in the European Economic Area and is present in more than 75 countries around the world.

 

The RISQ Division's mission is to contribute to the development of the SG Group's activity by facilitating the objectives of the Business Lines while maintaining independent oversight through risk evaluation and monitoring. The RISQ division in the US supports all the activities in the Americas Region (US, Canada and Latin America), which is almost exclusively GBIS-oriented. 

 

The SGUS Risks on Market Activities and Liquidity Risk Management Department (“RISQ/AME/RMA”) is organized under the authority of the US Chief Risk Officer (“CRO”). It constitutes the primary independent risk management function (second line of defense “2nd LOD”) for market and structural activities and ensures the continuous and independent oversight of risks generated on a large range of the SGUS businesses under both normal and stressed conditions. Within the RISQ/AME/RMA Department, the Models and Valuation team (“RISQ/AME/RMA/MVA”) is the 2nd LOD team in charge of model validation for capital market products valuation models and liquidity models.


The team carries out this mission under the guidance and the policies established by the SGUS Model Risk Management team (RISQ/AME/MRM) which is framing model risks for SGUS, and in good coordination with central risk teams (RISQ/RMA/MVA and RISQ/RMA/ALM) to guarantee the consistency with principles prevailing at Group level.


As Head of the team, you will report to the Head of RISQ/AME/RMA locally and functionally to the head of RISQ/RMA/MVA and the head of RISQ/RMA/ALM. 

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: 20000GKI
Business unit: SG CIB
Starting date: Immediate
Date of publication: 14/08/2020
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Market Risk - Head of Models & Valuation

Permanent contract   |   New York   |   Risks