Reference 260008TB

Responsibilities

PnL Responsibilities

Analysis, Validation, Commentary and Reporting of Daily Profit and Loss for Equity / Fixed Income, Equity / Fixed Income Derivatives and Hybrid Asset class.
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 current deals
Analysis of Validation, Commentary and Reporting of FRTB Risk Profit and Loss.
Analysis and commentary of VaR (Value at Risk) Back Testing breaches. Suggesting steps to ensure reduction of VaR Back Testing breaches
Co-ordinating with Accounting team to explain difference between Month End Accounting and Economic P&L.;
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.
Create and maintain adequate documentation for the responsible process and implement appropriate controls and checks in the process




Close contact with Traders to explain the daily P&L; and provide swift service traders to adhoc request
Having good analytical skills to perform manual valuation of the Products for the respective asset classes

Market Risk Responsibilities

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.
Sound understanding of Sensitivity (Greeks) * Shock approach and Full Valuation methodology to explain the market risk move and level.
Analysis, Validation, and commentary on FRTB metrics like Default Risk Charge, RRAO, Standard Based Model etc.
Level and Move analysis of the market risk metrics and sensitivities with proper justification.
Limit monitoring o

📌 Expert - Market Risk/PNL (Bengaluru)
🏢 Societe Generale Global Solution Centre
📍 Bengaluru