Lead Expert - Market Risk/PNL

Role Title: Lead Expert - Market Risk/PNL

Work Location Bengaluru (Availability to work in all SG GSC offices as per need)

Hybrid Model – weekly 3-4 days working from office

Organization Overview

Société Générale is one of the leading European financial services groups. Based on a diversified and integrated banking model, the Group combines financial strength and proven expertise in innovation with a strategy of sustainable growth, aiming to be the trusted partner for its clients, committed to the positive transformations of society and the economy.

Set up in 2000, Société Générale Global Solution Centre (SG GSC), a 100% owned subsidiary of Société Générale has over 12,000 employees across its Bangalore and Chennai facilities in India. The subsidiary is focused on Application Development and Maintenance, Infrastructure Management, Business Process Management and Knowledge Process Management, to Société Générale’s business lines across the world with focus on an outcome-based business approach.

We are an employee focused organization; known for the extensive opportunities we provide for career progression and development. 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.

Website:

Purpose of the Role

The purpose of this role is to support the Bank’s market activities by ensuring the accuracy, integrity, and transparency of Profit & Loss (P&L) and Market Risk metrics across Equity and Fixed Income products. As part of the RISQ/RMA/MMG team, the Analyst/Sr. Analyst plays a critical role in safeguarding the bank’s risk framework by performing daily analysis, validation, and certification of economic P&L, Value at Risk (VaR), Stressed VaR, sensitivities, and other regulatory risk measures.

PnL Responsibilities

1. Analysis, Validation, Commentary and Reporting of Daily Profit and Loss for Equity / Fixed Income, Equity / Fixed Income Derivatives and Hybrid Asset class.
2. Explanation / Substantiation of Daily Profit and Loss by attributing the Profit and Loss derived from different Greeks (Delta, Gamma, Vega, Rate, Dividend, Repo etc.) and new deals
3. Analysis of Validation, Commentary and Reporting of FRTB Risk Profit and Loss.
4. Analysis and commentary of VaR (Value at Risk) Back Testing breaches. Suggesting steps to ensure reduction of VaR Back Testing breaches
5. Co-ordinating with Accounting team to explain difference between Month End Accounting and Economic P&L.
6. Practicing appropriate controls and reviews Daily P&L numbers and Adjustments. Co-ordination and follow up with Referential and Trade Booking team to ensure all issues linked with P&L are mitigated quickly.
7. Create and maintain adequate documentation for the responsible process and implement appropriate controls and checks in the process
8. Close contact with Traders to explain the daily P&L and provide swift service traders to adhoc request
9. Having good analytical skills to perform manual valuation of the Products for the respective asset classes

Market Risk Responsibilities

1. Analysis, Validation, and commentary of Value at Risk (VaR), Stressed Value at Risk (SVaR), Stress Test and Risk Sensitivities (Equity Delta, Interest Rate Delta, Basis Delta, FX Delta, Equity Vega, Interest Rate Vega, etc) for instruments exposed to Market Risk on Equity / Fixed Income, Equity / Fixed Income Derivative and Hybrid products.
2. Sound understanding of Sensitivity (Greeks) * Shock approach and Full Valuation methodology to explain the market risk move and level.
3. Analysis, Validation, and commentary on FRTB metrics like Default Risk Charge, RRAO, Standard Based Model etc.
4. Level and Move analysis of the market risk metrics and sensitivities with proper justification.
5. Limit monitoring of risk sensitivities, VaR and SVaR and prompt communication to FO about the breaches.
6. Active involvement in adhoc request on regulatory topics, valuation model changes, Stress VaR widow calibration etc.

Required Skills/Abilities/ Qualifications

 Strong understanding of Financial Markets

– Equity, Fixed Income, Equity Derivatives, Fixed Income Derivatives, and Hybrid products.

– Knowledge of market drivers such as rates, credit spreads, volatility, dividends, repo, etc.

 Expertise in P&L Attribution and Risk Sensitivities (Greeks)

– Delta, Gamma, Vega, Theta, Rho, Basis, FX, and other risk factors.

– Ability to explain P&L using sensitivity‑based and full‑revaluation approaches.

 Market Risk Methodologies

– Value at Risk (VaR), Stressed VaR (SVaR), Stress Testing, sensitivities, and limit monitoring.

– Good understanding of risk frameworks such as back‑testing, stress scenarios, and limit breaches.

 FRTB Knowledge

– Familiarity with FRTB regulations including Expected Shortfall, Default Risk Charge (DRC), RRAO, and Standardized Approach.

 Valuation & Model Understanding

– Ability to independently validate or manually re‑calculate valuations for various asset classes.

– Understanding of pricing models for derivatives and curve/volatility construction.

 Data Analysis & Tools

– Advanced Excel skills (macros, formulas, automation).

– Working knowledge of VBA/Python is a strong plus.

– Exposure to risk/PnL systems is an advantage (Murex, Sophis, Summit, or internal bank tools).

Education :

Any Graduation