Quantitative Risk Management Specialist

1 month ago

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

About the Role:

The Risk Management Department at SGS Société Générale de Surveillance SA plays a crucial role in the sustainable growth of the company through its expertise, understanding of risks, and risk management techniques. The department'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.

The Model Risk Management (MRM) team, embedded within the Risk Management function, 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.

Main Responsibilities:

  • The design of the SG America's model risk management system, as well as its consistency, integrity, and compliance with regulatory provisions.
  • Managing the model approval process within its scope.
  • Monitoring of the models' performance, effectiveness of the MRM framework, and the model business environment on an ongoing basis.

The Quantitative Risk Management Specialist will participate in the development and maintenance of the continuous model monitoring (CMM) framework to assess the models' performance, effectiveness of the MRM framework, and the model business environment on an ongoing basis. He/she will be working closely with cross-functional teams, including model validators, model developers, business stakeholders, IT, auditors with exposure to a variety of models across the business and support functions, including market risk, credit, and counterparty risk, compliance, trading algorithms, and investment strategies.

Key Skills and Qualifications:

  • Education: Bachelor's degree (Master's or PhD preferred) in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM.
  • 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, with advanced knowledge of statistics and machine learning.
  • Data Management: Experience working with large datasets and quantitative analysis.
  • Model Risk: Familiarity with model risk management practices and regulatory requirements.
  • Additional Skills: Experience with market risk, counterparty risk, or algorithmic trading models.

Languages: French and English

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

Benefits:

  • Minimum of 20 Vacation days + 4 personal days
  • Supportive Maternity, paternity, parental, and adoption leave policy
  • Health spending and personal spending accounts
  • Fully sponsored virtual healthcare assistance
  • Various Employee Resource Groups (ERG)
  • Continuous development through various training programs

Culture:

Diversity & Inclusion:
Our mission is to recruit, develop, advance, and retain a diverse workforce.

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