Market Risk Modeling Expert

1 week ago

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

Overview

SGS Société Générale de Surveillance SA is a leading global player in the risk management industry. Our team of experts works together to provide innovative solutions for our clients' needs.

Job Description

We are seeking an experienced Market Risk Modeling Expert to join our team in New York City, USA. As a Market Risk Modeling Expert, you will be responsible for conducting independent model reviews of relevant models employed in SG Americas at all stages of their lifecycle.

Key Responsibilities:

  • Assess model conceptual soundness to ensure the consistency of model design by performing quantitative analyses and statistical tests, developing challenger models for benchmark, and challenging the theoretical aspects considering published research and industry practice.
  • Work with large, complex datasets to verify data input quality and processing, model output accuracy. Assess data quality and consistency between data characteristics and modeling assumptions.
  • Replicate and review model architecture to verify the computational accuracy of a model and ensure correct implementation.
  • Analyze model output through backtesting, benchmarking, sensitivity analysis by using quantitative tools and techniques.
  • Review model ongoing monitoring to ensure that changes in products, exposures, activities, clients, or market conditions trigger adjustment, redevelopment, or replacement of the model.
  • Evaluate model governance aspects such as model change management, ongoing monitoring, and inherent and residual model risk assessment.

Requirements

To be successful in this role, you will need:

Education

A 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 Skills

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

The estimated salary for this position is $120,000 per year.

Benefits

SGS Société Générale de Surveillance SA offers a comprehensive benefits package, including:

  • Supportive maternity, paternity, parental and adoption leave policy.
  • Health spending ($2,000/year) and personal spending ($1,000/year) accounts with 75+ eligible reimbursement categories (health, training, electronics, etc.).
  • Fully sponsored virtual healthcare assistance and Employee Assistance Program to you and your immediate family.
  • Various Employee Resource Groups (ERG) to engage with such as Pride and Allies, American Women Network, Black Leadership Network, One planet, etc.
  • A culture of continuous development by encouraging our employees through various training programs (online training and coaching platforms such as Coursera, GoFluent, Pluralsight, First Finance, and others).

Hybrid Work Environment

SGS Société Générale de Surveillance SA 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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