Quantitative Advisor

2 months ago

Montréal QC, Canada Société Générale Full time

**Responsibilities**:
**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.
- The independent review of internal models within its scope. The independent review is carried out in accordance with the fundamental principles of the MRM system by extending the due diligence procedures to cover all model aspects required by the regulations (conceptual soundness, implementation, usage, ongoing monitoring of the model carried out by the first line of defense) and in accordance with the scope defined in the context of the oversight.
- Managing the model approval process within its scope.
- Monitoring of the models’ performance, effectiveness of the MRM framework, and the model business environment on ongoing basis, and risk management of the model portfolio, ensuring adherence to regulatory requirements.

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 ongoing basis, and risk management of the model portfolio, ensuring adherence to regulatory requirements. 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.

***

**What will be your DAY-TO-DAY?**

In collaboration with Senior Quantitative Advisors and the team Manager, the Quantitative Advisor will:

- Conduct independent model review of relevant models that are employed in SG Americas at all stages of their lifecycle by:

- Assessing model conceptual soundness to ensure the consistency of model design by performing quantitative analyses and statistical tests, developing challenger models for benchmark, and challenging the theoretical aspects considering published research and industry practice.
- Working with large, complex datasets to verify data input quality and processing, model output accuracy. Assessing data quality and consistency between data characteristics and modeling assumptions.
- Replicating and review model architecture to verify the computational accuracy of a model and ensure correct implementation.
- Analyzing model output through backtesting, benchmarking, sensitivity analysis by using quantitative tools and techniques.
- Ensure the model outputs are used in line with the intended purpose, business processes, and reporting requirements.
- Reviewing model ongoing monitoring to ensure that changes in products, exposures, activities, clients, or market conditions trigger adjustment, redevelopment, or replacement of the model.
- Evaluate model governance aspects such as model change management, ongoing monitoring, and inherent and residual model risk assessment.
- Draft detailed validation reports and communicate findings to stakeholders. Prepare model review materials for the management and risk committees.
- Maintain positive relationships and continuous communication with model and business stakeholders. Work closely with front-office staff, model developers, and risk managers to review models and address remediation efforts.

**Profile required**:
**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,

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