Lead Expert - MVA

Societe Generale·Bengaluru

Pay not stated0–7 yrsFull-time

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About the role

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.

What you'll do

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
Ø Participate in transversal studies across model inventory management, tiering exercises of Pricing models, Payoffs, Reserve methodology and Source Validations