Senior Risk Model Validator
2 weeks ago
The Risk Management Department plays a crucial role in driving the sustainable growth of SGS Société Générale de Surveillance SA by leveraging its expertise, risk understanding, and risk management techniques. The department's mission is to independently analyze, assess, manage, and monitor risk-taking activities to achieve the best possible outcome for the bank.
Model Risk Management (MRM) team embedded within the Risk Management function 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).
Job Description- The design of the SG America's model risk management system, ensuring consistency, integrity, and compliance with regulatory provisions.
- Managing the model approval process within its scope.
- Monitoring models' performance and effectiveness of the MRM framework on an ongoing basis.
- Conduct independent model reviews by:
- Assessing model conceptual soundness through quantitative analyses and statistical tests.
- Working with large datasets to verify data input quality and processing.
- Reviewing ongoing monitoring to ensure model adjustments are made as necessary.
The Quantitative Advisor will participate in the development and maintenance of the continuous model monitoring (CMM) framework.
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 and machine learning.
- Data Management: Experience working with large datasets.
- Model Risk: Familiarity with model risk management practices and regulatory requirements.
- Additional Skills: Experience with market risk, counterparty risk, or algorithmic trading models.
Languages: English.
Benefits- Estimated Salary: $80,000 - $120,000 per year, based on location and experience.
- Supportive maternity, paternity, parental, and adoption leave policy.
- Health and personal spending accounts.
- Fully sponsored virtual healthcare assistance.
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