Metrics monitoring group (MMG).
MMG was created to strengthen our expertise in the analysis of results and risks and increase our proximity with trading activities.
MMG's major stakes will be to meet the regulatory challenges of tomorrow, to accompany the development of the business lines and to enable SG group to meet its ambitions in terms of client satisfaction and efficiency.
Ultimately, our task will be to ensure that FO (front office), SG Group Risk Department and Department of Finance are able to carry out their respective roles within a carefully-
controlled risk and cost management structure.
The Fixed Income department covers mainly following activities :
Produce Risk Analysis for FO, VAR, Stress VAR, Stress Test, Expected shortfall analyze, FRTB reporting and certify all financial aggregates and risk indicators on market activities for their partners and stakeholders for Fixed Income / Commodities / Exotic Desk.
Support business lines, Risk and Finance departments on evolution request and ad hoc requests, of which :
Control risk limits (market and counterparty) and follow-up of breaches.
Inform Risk and FO in case of limit breaches and communicate its corresponding analysis
1. Certification of VaR / SVaR / STT / ES / FRTB reports
2. Provide commentaries for Market risk metrics swing using different sensitivities like rate, credit, CIM, Basis and verification of market data.
Interact with internal clients like FO, onshore team, reconciliation, oper : trade support, RISQ, VAL and Commando team.
4. In the process of chaining (Market Data, MIS reporting)
5. Understanding the risks associated with different products
6. Control aspects : market risk, credit risk.
7. The analyst is responsible for the production of several sensitive metrics and various reports to inform management and FO on different risk exposures