Lead Quantitative Risk Modeler

1 week ago


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

Societe Generale's Risk Management Department plays a crucial role in the sustainable growth of the company by providing expertise, risk understanding, and management techniques.

The department's mission is to analyze, assess, manage, and monitor risk-taking activities to achieve the best possible outcome for the bank. It oversees various types of risks, including enterprise, strategic, credit, market, liquidity, operational, model, and other risks related to corporate and investment banking business activities.

Job Summary

We are seeking a highly skilled Lead Quantitative Risk Modeler to join our Model Risk Management (MRM) team within the Risk Management function in SG CIB. The successful candidate will oversee model risk management, participating in the development and maintenance of the continuous model monitoring (CMM) framework.

As a member of our MRM team, you will work closely with cross-functional teams, including model validators, model developers, business stakeholders, IT, auditors, and support functions. Your primary responsibility will be to conduct independent model reviews of relevant models at all stages of their lifecycle.

Key Responsibilities
  • Assessing model conceptual soundness
  • Working with large, complex datasets to verify data input quality and processing

In collaboration with Senior Quantitative Advisors and the team Manager, you will ensure that models are developed and maintained in accordance with regulatory requirements and industry standards.

Requirements

To succeed in this role, you must have:

  • A Bachelor's degree in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM; a Master's or PhD is preferred
  • A minimum of 3 years of experience 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
  • Additional skills: experience with market risk, counterparty risk, margining, or algorithmic trading models
Benefits
  • 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
  • Fully sponsored virtual healthcare assistance and Employee Assistance Program
  • Various Employee Resource Groups (ERG) to engage with
  • A culture of continuous development by encouraging employees' various training programs


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