Senior Risk Model Advisor

1 month ago


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

The Risk Management Department plays a crucial role in the sustainable growth of Societe Generale by providing expertise, risk understanding, and risk management techniques. The department's mission is to independently analyze, assess, manage, and monitor risk-taking activities to achieve the best possible outcome for the bank. The department oversees enterprise, strategic, credit, market, liquidity, operational, model, and other risks of corporate and investment banking business activities.

Job Summary

We are seeking a Quantitative Risk Management Specialist to join our Model Risk Management (MRM) team. The successful candidate will participate in the development and maintenance of the continuous model monitoring (CMM) framework to assess model performance, effectiveness of the MRM framework, and the model business environment on an ongoing basis.

Key Responsibilities
  • Conduct independent model review of relevant models at all stages of their lifecycle by assessing model conceptual soundness, verifying data input quality and processing, analyzing model output through backtesting, benchmarking, and sensitivity analysis.
  • Review model ongoing monitoring to ensure that changes in products, exposures, activities, clients, or market conditions trigger adjustment, redevelopment, or replacement of the model.
  • Evaluate model governance aspects such as model change management and ongoing monitoring.
Requirements
  • Education: Bachelor's degree in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM.
  • Experience: Minimum 3 years in model development, validation, or a front-office quant role; fewer years accepted with a PhD.
  • Technical Proficiency: Strong programming skills in Python, R, C++, or similar, with advanced knowledge of statistics, econometrics, and machine learning.
  • Data Management: Experience working with large datasets and quantitative analysis.
  • Communication: Excellent written and verbal communication skills for working with both technical and non-technical staff.
  • Model Risk: Familiarity with model risk management practices and regulatory requirements.
Language

English is the primary language used in this role, and the ability to communicate in English, both orally and in writing, is a requirement.

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 with 75+ eligible reimbursement categories.
  • Fully sponsored virtual healthcare assistance and Employee Assistance Program.
  • A culture of continuous development by encouraging our employees through various training programs.


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