Reporting to the Head of Market Risk EMEA, the Intern is responsible for administrating the data on a consistent and secure way allowing for the appropriate control, quality checks, certification and delivery in official repositories. The RF analyst also monitor the Marpl scope of action for ensuring the constant regulatory compliance (TB/BB, eligibility to IMA,…) and governing the relevant referentials along a clear governance.
Main missions are
Sandbox monitoring
- Ensuring at any point in time, for Market Risk ecosystem, the appropriate exhaustive, consistent and up-to-date vision of its bounds. This includes in particular monitoring of the IMA/SA perimeters, the list of portfolios falling in the Trading book and the Banking book, the scope of responsibilities of Market Risk with regards to its various duties (monitoring of risks, P&L production/certification, scope of application of existing SLAs - notably BPCE; CC production and analysis, etc…).
Repositories
- Administration of all repositories for which Market Risk leads the governance
- Liaising with the Data Office for the global follow up of repositories
Data quality
- Operating the data quality control of BOP (“Base des Opérations”)
- Responsible for the methodology and the consistency of the data quality control applied on Market Risk ' scope
Econometrics
- the review of the Risk factors used for the VaR computations;
- various production (daily/weekly/monthly) processes in the context of the MC VaR, Historical VaR, RIM and related controls, updates and reportings
Independent Price Verification
Market data
- effective (control rules are customized and performed dynamically),
- automated (implemented in “MDM” and “You Price”) and
- documented (data is certified, auditable and procedures available).
Static data
- Creation: set up instruments (bonds, equities, options, futures, EMTN…),
- Amendment, parameterization, corporate actions monitoring: keep data up-to-date all along its trading cycle, keep instruments up-to-date, verify cash-flows and schedules in FO tools based on settlements (match the flows received/paid by BackOffice),
Dynamic data
- Collect and feed market data to FO calculation systems,
Valuation & Observability
- Guaranteeing the marking and the complete review of parameters implied from Totem prices consensus or other market prices and defining the guidelines and best practices for the exposures to be covered.
Transverse
Contribute to important transverse duties at the Data Piloting Center level including:
- The leadership of all market data initiatives inside the FRTB Project
- Global transversal view of the data general monitoring and control set up for Market Risk
Required Skills, Qualifications & Experience
- A quantitative background in science, maths or engineering
- Financial market knowledge on derivative products for commodity asset class
- Excellent knowledge of Excel spreadsheets creation / maintenance, VBA and SQL
- Good presentation and synthesis skills
- Detailed oriented and ability to work independently with ability to communicate efficiently (orally and by writing)
- Strong knowledge of current financial regulations is a plus
- Knowledge of Sophis Commodity is a plus
