Quantitative Risk Model Validator
2 months ago
About the Role:
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 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.
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 work closely with cross-functional teams, including model validators, 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.
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, developing challenger models for benchmark, and challenging the theoretical aspects considering published research and industry practice.
- Work with large, complex datasets to verify data input quality and processing, model output accuracy.
- Replicate and review model architecture to verify the computational accuracy of a model and ensure correct implementation.
- Analyze model output through backtesting, benchmarking, sensitivity analysis by using quantitative tools and techniques.
- 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:
- 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.
- Communication: Excellent written and verbal communication skills for working with both technical and non-technical staff.
- Model Risk: Familiarity with model risk management practices and regulatory requirements.
- Additional Skills: Experience with market risk, counterparty risk, margining, or algorithmics trading models.
Languages: French and English
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