Quantitative Risk Analyst

1 month ago

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

The Risk Management Department plays a crucial role in the sustainable growth of the Societe Generale group by leveraging its expertise, understanding of risks, and risk management techniques. The department's mission is to independently analyze, assess, manage, and monitor risk-taking activities to achieve the best possible outcome for the bank. The department oversees various risks, including enterprise, strategic, credit, market, liquidity, operational, model, and other risks, associated with corporate and investment banking business activities.

Job Summary

The Quantitative Advisor will be responsible for executing independent reviews of business models under US and Canada regulations, working closely with cross-functional teams, including business stakeholders, model developers, model validators, IT, and auditors. The role involves presenting validation analysis to senior management and being exposed to various models used by the business and support functions, including models for credit risk and financial crime compliance.

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.
  • Collaborate with front-office staff, model developers, and risk managers to review models and address remediation efforts.
Requirements
  • Bachelor's degree (Master's or PhD preferred) in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM.
  • Minimum 3 years 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.
  • Experience with credit risk or compliance risk models.
Languages

French and English

The ability to communicate in English, both orally and in writing, is a requirement as the person in this position will need to collaborate regularly with colleagues and partners in the United States.

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