Quantitative Risk Model Developer for Market Surveillance

1 week ago

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

The Risk Management Department at SGS Société Générale de Surveillance SA contributes to the sustainable growth of the organization 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.

Model Risk Management (MRM) team oversees model risk management, responsible for the second line of defense for model risk and supervises the model risk management function for the Americas region. MRM notably oversees governance for model risk and conducts independent reviews of models in its scope.

Main tasks include designing the model risk management system, managing the model approval process, monitoring performance, and conducting ongoing assessments of models' effectiveness and business environment.

The Quantitative Risk Model Developer will participate in developing and maintaining a continuous model monitoring framework to assess models' performance, effectiveness of the MRM framework, and the model business environment on an ongoing basis. This involves working closely with cross-functional teams, including validators, developers, business stakeholders, IT, auditors, and support functions.

In collaboration with Senior Quantitative Advisors and the team Manager, the Quantitative Risk Model Developer will conduct independent model reviews of relevant models at all stages of their lifecycle by assessing conceptual soundness, verifying data input quality and processing large datasets, and collaborating with other stakeholders.

We are seeking a highly skilled Quantitative Risk Model Developer with:

  • Bachelor's degree (Master's or PhD preferred) in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM.
  • Minimum 3 years 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.
  • Experience working with large datasets and quantitative analysis.
  • Familiarity with model risk management practices and regulatory requirements.

Estimated salary range: $80,000 - $120,000 per year, depending on experience and qualifications. Benefits include a minimum of 20 vacation days, supportive maternity and parental leave policy, health spending accounts, virtual healthcare assistance, and various training programs.

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