Financial Risk Model Validation Specialist
5 days ago
The Risk Management Department plays a crucial role in driving the sustainable growth of SGS Société Générale de Surveillance SA through its expertise, risk understanding, and management techniques. As part of this team, you will contribute to achieving the best possible outcome for the bank by independently analyzing, assessing, managing, and monitoring risk-taking activities.
As a member of the Model Risk Management (MRM) team, you will oversee model risk management, ensuring compliance with regulatory requirements and maintaining the highest standards of governance. Your primary responsibilities will include conducting independent model reviews, collaborating with Senior Quantitative Advisors, and working closely with large, complex datasets.
Key Responsibilities- Conduct thorough model reviews at all stages of the lifecycle, assessing conceptual soundness and quantitative analyses to ensure consistency of design.
- Verify data input quality and processing, model output accuracy, and assess data quality and consistency between characteristics and modeling assumptions.
- Replicate and review model architecture to verify computational accuracy and correct implementation.
- Analyze model output through backtesting, benchmarking, sensitivity analysis using quantitative tools and techniques.
- Evaluate ongoing model monitoring to ensure adjustments, redevelopment, or replacement based on changes in products, exposures, activities, clients, or market conditions.
- Assess model governance aspects, including change management, ongoing monitoring, inherent, and residual risk assessment.
To be successful in this role, you will require:
- Bachelor's degree in a quantitative field, such as Mathematical Finance, Financial Engineering, Statistics, or STEM; Master's or PhD preferred.
- Minimum 3 years' experience in model development, validation, or front-office quant roles; fewer years accepted with a PhD.
- Strong programming skills in Python, R, C++, or similar, with advanced knowledge of statistics, econometrics, and machine learning.
- Experience working with large datasets and quantitative analysis.
- Excellent written and verbal communication skills for collaboration with both technical and non-technical staff.
- Familiarity with model risk management practices and regulatory requirements.
- Additional skills: experience with market risk, counterparty risk, margining, or algorithmic trading models.
Proficiency in French and English is required, with the ability to communicate effectively in English both orally and in writing, as regular collaboration with colleagues and partners in the United States is necessary.
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