Senior Quantitative Analyst, Model Validation
2 weeks ago
We are seeking a highly skilled Quantitative Advisor to join our team in New York. This is an exciting opportunity to work on model risk management and validation.
About the Job:
The Risk Management Department at SGS Société Générale de Surveillance SA contributes to 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, together with the first line-of-defense, the best possible outcome for the bank.
The Model Risk Management (MRM) team 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.
Main Responsibilities:
- Design and maintain the model risk management system, ensuring consistency, integrity, and compliance with regulatory provisions.
- Manage the model approval process within its scope.
- Monitor the models' performance, effectiveness of the MRM framework, and the model business environment on an ongoing basis, ensuring adherence to regulatory requirements.
Your Key Responsibilities as a Quantitative Advisor will be:
- Model Review: Independently assess model design and conceptual soundness by conducting quantitative analyses, statistical tests, and developing challenger models for benchmarking.
- Data Quality: Verify the quality and consistency of data inputs, transformations, and outputs, using advanced statistical techniques to address complex datasets.
- 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.
- Collaboration: Work closely with front-office staff, model developers, and risk managers to review models and address remediation efforts.
You must have:
- A Bachelor's degree (Master's or PhD preferred) in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM.
- At least 3 years of experience 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.
- Additional skills: Experience with credit risk or compliance risk models.
What we offer:
Societe Generale offers a competitive salary range of $120,000 - $180,000 per annum, depending on experience. Our benefits package includes minimum of 20 vacation days + 4 personal days, supportive maternity, paternity, parental, and adoption leave policy, health spending ($2,000/year) and personal spending ($1,000/year) accounts, fully sponsored virtual healthcare assistance and Employee Assistance Program, and a culture of continuous development by encouraging our employees through various training programs.
Our Culture:
Diversity & Inclusion Mission: We strive to create an inclusive workplace where everyone feels valued and respected. Our team is united in our efforts to enhance our competitive position and deliver innovative solutions to our clients.
Hybrid Work Environment: Societe Generale offers a hybrid work arrangement that offers employees the flexibility to work remotely, as well as on-site, in order to promote interaction and collaboration with colleagues while adhering to all SG standard protocols.
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Montreal, Quebec, Canada SGS Société Générale de Surveillance SA Full timeAs a leading global financial institution, SGS Societe Generale de Surveillance SA seeks a highly skilled Quantitative Risk Analyst to join our Model Risk Management team in SG America. This is an exciting opportunity to contribute to the development and maintenance of our continuous model monitoring framework.About UsSociete Generale is a leading European...
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