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Quantitative Risk Analyst

1 month ago


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

The Risk Management Department at SGS Société Générale de Surveillance SA plays a crucial role in ensuring the sustainable growth of the organization by providing expertise, understanding of risks, 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.

Job Summary

We are seeking a highly skilled Quantitative Risk Analyst to join our Model Risk Management (MRM) team. The successful candidate will be responsible for executing independent reviews of business models under US and Canada regulations, working closely with cross-functional teams, including business stakeholders, model developers, model validators, IT, and auditors.

Key Responsibilities
  • Independently assess model design and conceptual soundness by conducting quantitative analyses, statistical tests, and developing challenger models for benchmarking.
  • Verify the quality and consistency of data inputs, transformations, and outputs, using advanced statistical techniques to address complex datasets.
  • Review and replicate model architecture to ensure computational accuracy and correct implementation.
  • Perform backtesting, benchmarking, and sensitivity analysis to evaluate model performance and accuracy.
  • Regularly assess model performance, recommending adjustments or redevelopment based on changes in market conditions, products, or clients.
  • Evaluate governance aspects, including change management and ongoing monitoring, and assess overall model risk.
  • Draft detailed validation reports and communicate findings to stakeholders, including management and business partners.
Requirements
  • 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, with advanced knowledge of statistics, econometrics, and machine learning.
  • Experience working with large datasets and quantitative analysis.
  • Excellent written and verbal communication skills for working with both technical and non-technical staff.
  • Familiarity with model risk management practices and regulatory requirements.
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 (health, training, electronics etc.)
  • Fully sponsored virtual healthcare assistance and Employee Assistance Program to you and your immediate family
  • Various Employee Resource Groups (ERG) to engage with such as Pride and Allies, American Women Network, Black Leadership Network, One planet, etc.
  • A culture of continuous development by encouraging our employees various training programs (online training and coaching platform such as Coursera, GoFluent, Pluralsight, First Finance, and others)
Our Culture

We offer a hybrid work arrangement that provides employees with the flexibility to work remotely, as well as on-site, in order to promote interaction and collaboration with colleagues while adhering to all SG standard protocols.