Quantitative Risk Expert for Model Development and Validation

1 week ago

Montreal, Quebec, Canada SGS Société Générale de Surveillance SA Full time

The Risk Management Department at SGS Société Générale de Surveillance SA plays a crucial role in the sustainable growth of the organization by leveraging its expertise, understanding of risks, and risk management techniques.

As a Quantitative Risk Expert, you will be part of the Model Risk Management (MRM) team, which is responsible for overseeing model risk management. Your primary tasks will include:

  • Designing and implementing the model risk management system, ensuring its consistency, integrity, and compliance with regulatory provisions.
  • Managing the model approval process within your scope.
  • Monitoring the performance and effectiveness of the MRM framework on an ongoing basis.

You will work closely with Senior Quantitative Advisors and the team Manager to develop and maintain the continuous model monitoring (CMM) framework. This involves conducting independent model reviews of relevant models employed in SG Americas, assessing their conceptual soundness, and working with large datasets to verify data input quality and processing.

To succeed in this role, you should possess a Bachelor's degree (Master's or PhD preferred) in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM. You should have a minimum of 3 years of experience in model development, validation, or a front-office quant role, with fewer years accepted with a PhD.

A strong programming skills in Python, R, C++, or similar, as well as experience working with large datasets, are essential. Familiarity with model risk management practices is also required. In addition, you must be proficient in English, both orally and in writing, as this is a requirement for the role.

We offer a competitive salary range between $120,000 and $180,000 per year, depending on your level of experience and qualifications. Our benefits package includes supportive maternity, paternity, parental and adoption leave policy, health spending and personal spending accounts, and a culture of continuous development through training programs.

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