Quantitative Risk Model Validator

1 week ago

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

The Societe Generale de Surveillance SA, SGS group is committed to fostering a culture of excellence in risk management and strategic decision-making. As a Quantitative Risk Model Validator, you will be part of the esteemed team that oversees model risk management for the SG America regions (US, Canada, and Latin America).

Your primary responsibility will involve conducting independent reviews of business models under both US and Canada regulations, working closely with cross-functional teams including business stakeholders, model developers, model validators, IT, and auditors. You will also be responsible for presenting validation analysis to senior management.

This role requires strong programming skills in Python, R, C++, or similar, as well as advanced knowledge of statistics, econometrics, and machine learning. Experience working with large datasets and quantitative analysis is essential. Additionally, you should possess excellent written and verbal communication skills for collaborating with technical and non-technical staff.

In collaboration with Senior Quantitative Advisors and the team Manager, your key responsibilities will include:

  • Model Review: Independently assess model design and conceptual soundness by conducting quantitative analyses, statistical tests, and developing challenger models for benchmarking.
  • Data Quality: Verify the quality and consistency of data inputs, transformations, and outputs using advanced statistical techniques to address complex datasets.
  • Model Replication: Review and replicate model architecture to ensure computational accuracy and correct implementation.
  • Output Analysis: Perform backtesting, benchmarking, and sensitivity analysis to evaluate model performance and accuracy.
  • Ongoing Monitoring: Regularly assess model performance, recommending adjustments or redevelopment based on changes in market conditions, products, or clients.
  • Model Governance: Evaluate governance aspects, including change management and ongoing monitoring, and assess overall model risk.
  • Communication and Reporting: Draft detailed validation reports and communicate findings to stakeholders, including management and business partners.
  • Collaboration: Work closely with front-office staff, model developers, and risk managers to review models and address remediation efforts.

We are seeking candidates with a Bachelor's degree in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM. A Master's or PhD is preferred. With a minimum 3 years of experience in model development, validation, or a front-office quant role, you will be equipped to excel in this position. The salary range for this role is $120,000 - $180,000 annually, depending on location and qualifications.

Societe Generale offers a comprehensive benefits package, including a minimum of 20 vacation days, supportive maternity, paternity, parental, and adoption leave policy, health spending accounts, virtual healthcare assistance, Employee Assistance Program, and Employee Resource Groups. We also provide opportunities for continuous development through various training programs, such as Coursera, GoFluent, Pluralsight, First Finance, and others. Our hybrid work environment allows employees to balance remote work with on-site collaboration, promoting interaction and innovation while adhering to all SG standard protocols.

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