Quantitative Risk Modeler

2 months 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 providing expertise, risk understanding, 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 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 oversees the SG America's governance for model risk and conducts the independent review of the models in its scope.

Main Responsibilities
  • Design and maintain the SG America's model risk management system, ensuring consistency, integrity, and compliance with regulatory provisions.
  • Manage the model approval process within its scope.
  • Monitor the models' performance and effectiveness of the MRM framework on an ongoing basis.
Key Skills and Qualifications

Must Have:

  • Education: Bachelor's degree (Master's or PhD preferred) in a quantitative field.
  • Experience: Minimum 3 years in model development, validation, or a front-office quant role; fewer years accepted with a PhD.
  • Technical Proficiency: Strong programming skills in Python, R, C++, or similar.
  • Data Management: Experience working with large datasets.
  • Model Risk: Familiarity with model risk management practices and regulatory requirements.

Languages: French and English.

Ability to communicate in English, both orally and in writing, is a requirement.

Due to US Federal Securities law applying to this position, candidates will be required to submit to an enhanced background screening.

Benefits:

  • Supportive Maternity, paternity, parental, and adoption leave policy.
  • Health spending and personal spending accounts with eligible reimbursement categories.
  • A culture of continuous development by encouraging various training programs.

Diversity & Inclusion:

Societe Generale is committed to creating an inclusive and diverse work environment.

Hybrid Work Environment:

Societe Generale offers a hybrid work arrangement that offers employees the flexibility to work remotely and on-site.

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