Market Risk Models Specialist

1 week ago


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

The Societe Generale Risk Management Department plays a pivotal role in the bank's sustainable growth by leveraging its expertise and understanding of risks to effectively manage and monitor risk-taking activities. The department's mission is to independently analyze, assess, and mitigate risk with the ultimate goal of achieving the best possible outcome for the bank.

Job Overview

We are seeking a skilled Market Risk Models Specialist to join our team. This individual will be responsible for contributing to the development and maintenance of the continuous model monitoring (CMM) framework to assess models' performance and effectiveness of the MRM framework on an ongoing basis.

About You

To succeed in this role, you should possess a strong background in quantitative fields such as Mathematical Finance, Financial Engineering, Statistics, or STEM. A minimum of 3 years of experience in model development, validation, or a front-office quant role is required. Proficiency in programming languages like Python, R, C++, or similar is essential, along with advanced knowledge of statistics, econometrics, and machine learning.

Key Responsibilities
  • Conduct independent model review of relevant models employed in SG Americas at all stages of their lifecycle.
  • Work with large, complex datasets to verify data input quality and processing.
  • Review model ongoing monitoring to ensure necessary adjustments are made.
Requirements
  • Bachelor's degree in a quantitative field (Master's or PhD preferred).
  • Minimum 3 years of experience in model development, validation, or a front-office quant role.
  • Strong programming skills in Python, R, C++, or similar.
  • Advanced knowledge of statistics, econometrics, and machine learning.
Benefits

We offer a comprehensive benefits package, including health spending and personal spending accounts, fully sponsored virtual healthcare assistance, Employee Assistance Program, and a supportive maternity, paternity, parental, and adoption leave policy. Our hybrid work environment provides flexibility to work remotely, as well as on-site.

$120,000 - $150,000 per year, depending on qualifications and experience.



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