Quantitative Advisor

4 weeks ago


Montreal, Quebec, Canada SGS Société Générale de Surveillance SA Full time
About the Job:

The Risk Management Department at SGS Société Générale de Surveillance SA plays a crucial role in the sustainable growth of the company 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 the best possible outcome for the bank. The department oversees enterprise, strategic, credit, market, liquidity, operational, model, and other risks of the corporate and investment banking business activities.

Job Summary:

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. The Quantitative Advisor will work closely with cross-functional teams, including model validators, model developers, business stakeholders, IT, auditors, and support functions.

Key Responsibilities:
  • Conduct independent model review of relevant models that are employed in SG Americas at all stages of their lifecycle.
  • Assess model conceptual soundness to ensure the consistency of model design by performing quantitative analyses and statistical tests.
  • Work with large, complex datasets to verify data input quality and processing, model output accuracy.
  • Review 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.
Requirements:
  • Bachelor's degree (Master's or PhD preferred) in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM.
  • Minimum 3 years in model development, validation, or a front-office quant role; fewer years accepted with a PhD.
  • Strong programming skills in Python, R, C++, or similar, with advanced knowledge of statistics, econometrics, and machine learning.
  • Experience working with large datasets and quantitative analysis.
  • Excellent written and verbal communication skills for working with both technical and non-technical staff.
  • Familiarity with model risk management practices and regulatory requirements.
Language:

English is the primary language of communication for this role, and the ability to communicate in English, both orally and in writing, is a requirement.


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