Quantitative Risk Model Expert

1 month ago


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

SGS Sociète Générale de Surveillance SA is seeking a highly skilled Quantitative Risk Model Expert to join our team. This role will be responsible for independently reviewing business models under both US and Canada regulations.

Key Responsibilities
  • Model Review: Conduct quantitative analyses, statistical tests, and develop challenger models for benchmarking.
  • Data Quality: Verify the quality and consistency of data inputs, transformations, and outputs using advanced statistical techniques.
  • Model Replication: Review and replicate model architecture to ensure computational accuracy and correct implementation.
  • Output Analysis: Perform backtesting, benchmarking, and sensitivity analysis to evaluate model performance and accuracy.
  • Ongoing Monitoring: Regularly assess model performance, recommending adjustments or redevelopment based on changes in market conditions, products, or clients.
  • Model Governance: Evaluate governance aspects, including change management and ongoing monitoring, and assess overall model risk.
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, 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.
Benefits
  • Minimum of 20 Vacation days + 4 personal days
  • 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
  • Fully sponsored virtual healthcare assistance and Employee Assistance Program to you and your immediate family
  • A culture of continuous development by encouraging our employees various training programs


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