Quantitative Risk Analyst with Model Governance Expertise
1 week ago
At SGS Société Générale de Surveillance SA, we are seeking a highly skilled Quantitative Risk Analyst to join our team in this exciting role.
About the Job:
The Risk Management Department plays a crucial role in supporting the sustainable growth of our organization through effective risk management and analysis. The department's mission is to provide independent oversight and monitoring of risk-taking activities to ensure the best possible outcome for our business.
In this position, you will be responsible for model review, data quality verification, model replication, output analysis, ongoing monitoring, model governance, communication, and reporting.
Key Responsibilities:
- Model Review: Conduct quantitative analyses, statistical tests, and develop challenger models for benchmarking purposes.
- Data Quality: Verify the quality and consistency of data inputs, transformations, and outputs using advanced statistical techniques.
- Model Replication: Review and replicate model architecture to ensure computational accuracy and correct implementation.
- Output Analysis: Perform backtesting, benchmarking, and sensitivity analysis to evaluate model performance and accuracy.
- Ongoing Monitoring: Regularly assess model performance, recommending adjustments or redevelopment based on changes in market conditions, products, or clients.
- Model Governance: Evaluate governance aspects, including change management and ongoing monitoring, and assess overall model risk.
- Communication and Reporting: Draft detailed validation reports and communicate findings to stakeholders, including management and business partners.
Requirements:
- Education: Bachelor's degree 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.
Salary:$120,000 - $180,000 per annum, depending on experience.
Benefits:We offer a competitive compensation package, including minimum 20 vacation days, supportive maternity and parental leave policy, health spending accounts, virtual healthcare assistance, employee assistance program, and various training programs.
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