Risk Model Quantitative Advisor
10 hours ago
About the Role
The Societe Generale group's Risk Management Department plays a crucial role in the company's sustainable growth through its expertise 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.
In this context, the 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).
The Quantitative Advisor will participate in the development and maintenance of the continuous model monitoring framework. This involves assessing models' performance, effectiveness of the MRM framework, and the model business environment on an ongoing basis, as well as risk management of the model portfolio, ensuring adherence to regulatory requirements.
Key responsibilities include:
- Conducting independent model review of relevant models across all stages of their lifecycle
- Assessing model conceptual soundness to ensure consistency of model design
- Verifying data input quality and processing, model output accuracy, and replicating model architecture
- Analyzing model output through backtesting, benchmarking, sensitivity analysis using quantitative tools and techniques
- Evaluating model governance aspects such as model change management, ongoing monitoring, and inherent and residual model risk assessment
Requirements
- Bachelor's degree in a quantitative field (Master's or PhD preferred)
- Minimum 3 years of experience in model development, validation, or 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
- Excellent written and verbal communication skills for working with technical and non-technical staff
- Familiarity with model risk management practices and regulatory requirements
Estimated Salary: $120,000 - $150,000 per annum
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