Quantitative Advisor

3 weeks ago


Montreal, Canada SGS Société Générale de Surveillance SA Full time
p>ABOUT THE JOB:

The Risk Management Department contributes to the sustainable growth of the Societe Generale group through its expertise, understanding of risks, and risk management techniques. The department’s mission is to independently analyze, assess, manage and monitor risk-taking activities with the objective of achieving, together with the first line-of-defense, the best possible outcome for the bank. The department oversees the enterprise, strategic, credit, market, liquidity, operational, model, and other risks of the corporate and investment banking business activities.

Model Risk Management (MRM) team embedded within the Risk Management function in SG CIB oversees model risk management. MRM is responsible for the second line of defense for model risk and supervises the model risk management function for the SG America regions (US, Canada, and Latin America). In this respect, MRM notably oversees the SG America’s governance for model risk and conducts the independent review of the models in its scope.

In detail, MRM’s main tasks are:

  • The design of the SG America’s model risk management system, as well as its consistency, integrity, and compliance with regulatory provisions.
  • Managing the model approval process within its scope.
  • Monitoring of the models’ performance, effectiveness of the MRM framework, and the model business environment on an ongoing basis.

The Quantitative Advisor will participate in the development and maintenance of the continuous model monitoring (CMM) framework to assess the models’ performance, effectiveness of the MRM framework, and risk management of the model portfolio. b>

In collaboration with the Team Manager, the Quantitative Advisor will:

  • Metrics design and implementation: Develop and implement metrics aimed to monitor model performance, including production automation and reporting.


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