Strategic Quantitative Advisor for Model Governance

1 month ago

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

SGS Société Générale de Surveillance SA seeks a skilled Quantitative Advisor to join its Risk Management Department. As a key member of the Model Risk Management (MRM) team, you will contribute to the sustainable growth of the organization by analyzing, assessing, managing, and monitoring risk-taking activities.

The MRM team is responsible for the second line of defense for model risk and oversees the model risk management function for the SG America regions (US, Canada, and Latin America). Your primary tasks will include:

  • Designing and maintaining the continuous model monitoring (CMM) framework to assess models' performance and effectiveness of the MRM framework.
  • Participating in the development and maintenance of the CMM framework to ensure consistency and integrity with regulatory provisions.

You will work closely with cross-functional teams, including model validators, model developers, business stakeholders, IT, auditors, and support functions, such as market risk, credit and counterparty risk, compliance, trading algorithms, and investment strategies.

In collaboration with Senior Quantitative Advisors and the team Manager, you will conduct independent model reviews of relevant models at all stages of their lifecycle. This involves:

  • Assessing model conceptual soundness.
  • Working with large, complex datasets to verify data input quality and processing.
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 of 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.
  • Familiarity with model risk management practices and regulatory requirements.

Estimated Salary: $120,000 - $180,000 per year, depending on location and experience. SGS offers a competitive compensation package, including benefits and opportunities for professional growth and development.

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