This highly quantitative role, in strong connection with the model validation team in Paris (20+ persons at Master/PhD levels), includes but not limited to:
- The independent review and analysis of models used for pricing and risk management of equity derivative products (conceptual soundness of model specification and assumptions including tests in stressed market conditions, correctness of implementation or robustness of numerical aspects).
- The review of product-model adequacy in light of hedging strategies and market liquidity with studies of product sensitivities in various market conditions
- The proposal of alternative approach
- The implementation (in C #) of a given model in the Model Validation library (independent from the Front Office pricing library)
- A strong and proactive interaction with traders, R&D teams, risk managers and finance
- Documentation of the validation findings with pricing framework conditions / limitations
PRIOR WORK EXPERIENCE
- Valuable experience of 3+ years in a pricing model validation or front office quant role with a broad exposure to derivatives (Fixed income or equity derivatives)
- Strong ability in object oriented programming (C++ or C# ideally)
- A Master/PhD from a top university in a scientific subject such as Mathematics, Physics, Mathematical Finance or Statistics
- English – good communication skills – both written and oral
About Societe Generale
The Market Risk Department of Société Générale in New York contains a Model Validation Team (5 persons at Master/PhD levels). This independent team is responsible for conducting product and model validation to help assess and mitigate the risk embedded in pricing and liquidity models.