Chief Quantitative Risk Management Specialist

3 weeks ago


Montreal, Quebec, Canada SGS Société Générale de Surveillance SA Full time
Overview of the Role

The Societe Generale's Risk Management Department plays a vital role in driving the bank's sustainable growth by providing expert risk analysis, understanding of risks, and effective risk management techniques. As a key team member, you will contribute to the department's mission of independently analyzing, assessing, managing, and monitoring risk-taking activities to achieve optimal outcomes for the bank.

The Model Risk Management (MRM) team, embedded within the Risk Management function, oversees model risk management for the SG CIB division. In this capacity, 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). Your primary focus will be on ensuring the integrity, consistency, and compliance of the SG America's model risk management system with regulatory provisions.

About the Job Description

In this role, you will participate in the development and maintenance of the continuous model monitoring framework, collaborating closely with cross-functional teams, including model validators, developers, business stakeholders, IT, auditors, and support functions. You will assess model conceptual soundness, perform quantitative analyses, and statistical tests to ensure the consistency of model design. Additionally, you will verify data input quality and processing, model output accuracy, and review ongoing model monitoring to ensure that changes trigger adjustments, redevelopment, or replacement of the model.

Key Responsibilities
  • Conduct independent model reviews of relevant models across their lifecycle stages, ensuring that they are employed in SG Americas at all stages.
  • Evaluate model governance aspects, such as model change management, ongoing monitoring, and inherent and residual model risk assessment.
Requirements

To excel in this position, you must possess a Bachelor's degree in a quantitative field, such as Mathematical Finance, Financial Engineering, Statistics, or STEM. A Master's or PhD degree is preferred. With a minimum of 3 years of experience in model development, validation, or a front-office quant role, you should have strong programming skills in languages like Python, R, C++, or similar. You must also demonstrate expertise in statistics, econometrics, and machine learning. Experience working with large datasets and quantitative analysis is essential, as well as excellent written and verbal communication skills for collaboration with both technical and non-technical staff.

Salary and Benefits

We offer a competitive salary range of $120,000 - $180,000 per year, depending on your experience and qualifications. Our benefits package includes a minimum of 20 vacation days + 4 personal days, supportive maternity, paternity, parental, and adoption leave policy, health spending ($2,000/year) and personal spending ($1,000/year) accounts with 75+ eligible reimbursement categories, fully sponsored virtual healthcare assistance, and Employee Assistance Program.

Working Environment

Societe Generale offers a hybrid work arrangement that provides employees with flexibility to work remotely, as well as on-site. Our company values diversity and inclusion, and we strive to create an environment where our employees feel valued, respected, and empowered to contribute their best work.



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