Quantitative Risk Expert
17 hours ago
About SGS Société Générale de Surveillance SA:
We are a leading financial institution dedicated to sustainable growth. Our Risk Management Department plays a crucial role in achieving this goal through its expertise, understanding of risks, 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. We oversee enterprise, strategic, credit, market, liquidity, operational, model, and other risks of our corporate and investment banking business activities.
Our 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 our SG America regions (US, Canada, and Latin America).
MRM's main tasks include designing and maintaining the SG America's model risk management system, managing the model approval process, monitoring models' performance, and ensuring consistency and integrity with regulatory provisions.
**Your Role as Quantitative Advisor:**
You will participate in the development and maintenance of the continuous model monitoring (CMM) framework to assess models' performance, effectiveness of the MRM framework, and the model business environment on an ongoing basis.
In collaboration with the Team Manager, you will:
- Metrics Design and Implementation: Develop and implement metrics to monitor model performance within your model scope.
- Analysis of Metrics Results and Breach Management: Liaise with the first line of defense and validation teams on model risk evolution.
- Data Quality: Maintain the quality and consistency of data across different systems used by MRM.
- Model Risk Identification and Assessment:
- Collaboration: Work closely with front-office staff, model developers, model validators, IT services, and risk managers.
Salary Estimate: $120,000 - $150,000 per year, depending on location and experience.
Requirements:
- Bachelor's degree (Master's preferred) in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, Engineering, or Mathematics.
- Minimum 2 years in model development, validation, or a front-office quant role.
- Strong analytical skills. Strong programming skills in Python and SQL.
- Experience working with large datasets and quantitative analysis.
- Familiarity with model risk management practices and US regulatory requirements is a plus.
Languages: French and English. Ability to communicate in English, both orally and in writing, is a requirement.
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