Key responsibilities :
The role requires close co-operation with worldwide RISQ teams and various departments in the region. The principal missions of the position would consist of :
Strengthen the Curve Management function in Asia :
Take charge of curve setup for Pricing and PnL in both FIC and EQTY business. Work on major evolutions (IBOR transition, emerging curve cleanup, Karma implementation).
Contribute to the FRTB program ramp-up in Asia :
Understand the FRTB metrics and their methodology of computation (internal model & standard approach). Guarantee the correctness of their representation in the internal SI.
Help in setting and testing the target process of monitoring and certification of the FRTB metrics.
Participate to the Default Management Process for Asian Central Counterparties :
Take charge of the fire drill for RISQ / RMA / MMG. Follow the impacts of auction process and recovery tools on market risk limit consumption.
Help in formalizing and rationalizing the default management framework of SG in Asia.
Key Skill Areas & knowledge Required :
The Risk department at SGCIB Hong Kong is looking for a candidate to join the Metrics & Consolidation (XBC) team under RISKS ON MARKET ACTIVITIES AND ALM (RMA).
An ideal candidate should have good understanding of risk and also of OTC derivatives. Knowledge of or experience with VBA coding and international regulations will be a plus.
Working environment :
SGCIB is the Corporate and Investment Banking arm of the Société Générale Group. Present in over 50 countries across Europe, Americas and Asia, SGCIB provides corporate, financial institutions, investors and public-
sector clients with value-added integrated financial solutions.
As a transversal team, XBC is in charge of production and certification of various metrics including market risk, VAR back-
testing, counterparty credit risk, credit valuation adjustment, margining and Risk Weighted Asset. XBC team in APAC region has a triple-
objective of taking part in certification on global metrics, ensuring the curve management function and supporting directly the Chief Risk Officers (CROs) across the region.
All our positions are open to people with disabilities
Job code : 19000R4L
Business unit : Societe Generale Hong Kong Branch
Starting date : Immediate
Date of publication : 21 / 10 / 2019