Quantitative Risk Expert

1 month ago


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

The Quantitative Advisor position is a key role within the Risk Management Department at SGS Société Générale de Surveillance SA. The ideal candidate will possess strong analytical skills and experience in model development, validation, or a front-office quant role.

About the Role

This position involves participating in the development and maintenance of the continuous model monitoring (CMM) framework to assess models' performance and ensure adherence to regulatory requirements. Key responsibilities include designing metrics to monitor model performance, documenting model risk monitoring methodology, and collaborating with front-office staff and model developers to review metrics and contribute to remediation efforts.

Responsibilities
  • Metrics Design and Implementation: Develop and implement metrics aimed at monitoring model performance within the designated scope.
  • Documentation: Draft business requirements for metric implementation to IT support and document model risk monitoring methodology.
  • Analysis 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 the Risk Management Department.
  • Model Risk Identification and Assessment:
  • Collaboration: Work closely with front-office staff and model developers to review metrics and contribute to remediation efforts.
Requirements
  • Education: Bachelor's degree in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, Engineering, or Mathematics; Master's preferred.
  • Experience: Minimum 2 years in model development, validation, or a front-office quant role.
  • Technical Proficiency: Strong analytical skills and programming skills in Python and SQL.
  • Data Management: Experience working with large datasets and quantitative analysis.
  • Model Risk: Familiarity with model risk management practices and US regulatory requirements is a plus.
What We Offer
  • Salary: $120,000 - $150,000 per annum, depending on experience.
  • Vacation Time: Minimum of 20 vacation days + 4 personal days.
  • Benefits: Supportive maternity, paternity, parental, and adoption leave policy; health spending ($2,000/year) and personal spending ($1,000/year); fully sponsored virtual healthcare assistance and Employee Assistance Program; various Employee Resource Groups (ERG) to engage with; culture of continuous development by encouraging various training programs.


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