Quantitative Model Risk Expert
2 days ago
We are seeking a highly skilled Quantitative Model Risk Expert to join our team at SGS Société Générale de Surveillance SA.
Company OverviewSociete Generale, one of the leading international financial services groups in Europe, contributes to the sustainable growth of the bank through its expertise, understanding of risks, and risk management techniques. The company'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.
Job DescriptionThe 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 the independent review of the 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 the quality and consistency of data inputs, transformations, and outputs, using advanced statistical techniques to address complex datasets.
- Review and replicate model architecture to ensure computational accuracy and correct implementation.
- Perform backtesting, benchmarking, and sensitivity analysis to evaluate model performance and accuracy.
- Regularly assess model performance, recommending 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.
- Work closely with front-office staff, model developers, and risk managers to review models and address remediation efforts.
To be successful in this role, you will need to possess:
- A Bachelor's degree (Master's or PhD preferred) in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM.
- A minimum of 3 years' experience in model development, validation, or a front-office quant role; 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 working with both technical and non-technical staff.
- Familiarity with model risk management practices and regulatory requirements.
The estimated salary for this role is $120,000 - $180,000 per year, depending on experience, plus a comprehensive benefits package, including health insurance, retirement plan, and generous paid time off.
Working ConditionsThis is a full-time position, and the successful candidate will be required to work on-site, with occasional remote work arrangements. The ideal candidate will be located in the United States, with the possibility of relocation to other locations within the Americas region.
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