Senior Advisor Market Risk Models
2 months ago
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 the model business environment on an ongoing basis. He/she will be working closely with cross-functional teams, including model validators (Paris and NY office), model developers, business stakeholders, IT, auditors with exposure to a variety of models across the business and support functions, including market risk, credit and counterparty risk, compliance, trading algorithms, and investment strategies.
In collaboration with Senior Quantitative Advisors and the team Manager, the Quantitative Advisor will:
- Conduct independent model review of relevant models by:
- Assessing model conceptual soundness.
Skills and Qualifications:
Must Have:
- Education: Bachelor's degree (Master's or PhD preferred) in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM.
- Experience: Minimum 3 years in model development, validation, or a front-office quant role; fewer years accepted with a PhD.
- Technical Proficiency: Strong programming skills in Python, R, C++, or similar, with advanced knowledge of statistics, econometrics, and machine learning.
- Data Management: Experience working with large datasets and quantitative analysis.
- Model Risk: Familiarity with model risk management practices and regulatory requirements.
- Additional Skills: Experience with market risk, counterparty risk, margining, or algorithmic trading models.
Languages: French and English
Ability to communicate in English, both orally and in writing, is a requirement.
Due to US Federal Securities law applying to this position, candidates will be required to submit to an enhanced background screening.
OUR BENEFITS:
- Minimum of 20 Vacation days + 4 personal days
- Supportive maternity, paternity, parental, and adoption leave policy
- Health spending and personal spending accounts
- Fully sponsored virtual healthcare assistance
- Various Employee Resource Groups (ERG)
OUR CULTURE:
D&I:
Our Diversity & Inclusion Mission: p>
HYBRID WORK ENVIRONMENT:
Societe Generale offers a hybrid work arrangement that offers employees the flexibility to work remotely, as well as on-site.
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