Chief Quantitative Risk Management Specialist

3 weeks ago

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

The Risk Management Department plays a crucial role in Societe Generale's sustainable growth by providing expertise, risk understanding, and management techniques. Its mission is to analyze, assess, manage, and monitor risk-taking activities independently, working towards achieving the best possible outcome for the bank. The department oversees enterprise, strategic, credit, market, liquidity, operational, model, and other risks of corporate and investment banking business activities.

Model Risk Management (MRM) team embedded within the Risk Management function in SG CIB 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). In this respect, MRM notably oversees the SG America's governance for model risk and conducts independent reviews of models in its scope.

  • Key Responsibilities:
  • Independently assess model design and conceptual soundness by conducting quantitative analyses, statistical tests, and developing challenger models for benchmarking.
  • Verify data quality and consistency using advanced statistical techniques to address complex datasets.
  • Review and replicate model architecture to ensure computational accuracy and correct implementation.
  • Evaluate model performance and accuracy through backtesting, benchmarking, and sensitivity analysis.
  • Regularly assess model performance and recommend adjustments or redevelopment based on changes in market conditions, products, or clients.
  • Evaluate governance aspects, including change management and ongoing monitoring, and assess overall model risk.
  • Draft detailed validation reports and communicate findings to stakeholders, including management and business partners.
  • Collaborate with front-office staff, model developers, and risk managers to review models and address remediation efforts.
Required Skills and Qualifications

Must-Have Qualifications:

  • 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, 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.
  • Additional Skills: Experience with credit risk or compliance risk models.

Preferred Languages: French and English

Job Requirements: Ability to communicate in English, both orally and in writing, is required as the person in this position will need to collaborate regularly with colleagues and partners in the United States.

Benefits

Societe Generale offers a comprehensive benefits package to support employees' well-being and career development. This includes:

  • A minimum of 20 vacation days + 4 personal days per year
  • A supportive maternity, paternity, parental, and adoption leave policy
  • A health spending account ($2,000/year) and a personal spending account ($1,000/year)
  • Fully sponsored virtual healthcare assistance and Employee Assistance Program for you and your immediate family
  • Access to various Employee Resource Groups (ERG) to engage with and promote diversity and inclusion
  • A culture of continuous development through training programs and professional coaching
Work Environment

Societe Generale offers a hybrid work arrangement that allows employees to work remotely and on-site, promoting interaction and collaboration with colleagues while adhering to all standard protocols.

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